The Connection/Save and Connection/Save As... menu items create an .SFX file in which all the options of the connection are saved. You can later reestablish the connection with the same properties by loading the .SFX file with the Connection/Open... menu item.
The first time you save a new connection, use Save As... to specify the name of the .SFX file. Subsequently, you can use Save to write changes to the connection options to the file.