ayc868,
You can type a query in the MyEclipse Visual SQL Query Editor and click CTRL+S (save) to save it as a new sql file.
Alternatively, you can create an sql file by going to File > New > Other > MyEclipse > Database explorer > SQL file. Once the sql file is created you can open the sql file in MyEclipse Visual SQL Query Editor by right-clicking on your SQL file, and going to Open With > MyEclipse Visual SQL Query Editor.
Let us know how it works for you.