This is lifted directly from the Photoshop Help file:
1. In the Layers palette, select the layer containing the style that you want to save as a preset.
2. Do one of the following:- Drag the selected layer into the Styles palette or onto the New Item button in the Styles palette.
- Click an empty area of the Styles palette.
- Press Alt (Windows) or Option (Mac OS), and click the New Item button at the bottom of the Styles palette.
- Choose New Style from the Styles palette menu.
- Choose Layer > Layer Style > Blending Options, and click New Style in the Layer Style dialog box.
3. Enter a name for the preset style, set style options, and click OK.
To create a preset style from a single effect, drag the effect from the Layers palette to the Styles palette.
I think that pretty much covers it.