The example sketches are part of the Arduino install hierarchy , and are thus (correctly) read-only.
When I modify one and try to save it, I get a pop-up "Sketch is read-only", followed by a normal "save-as" dialog that defaults to the Documents/Arduino folder that it would like you to use. (I have Arduino 0022 and MacOSX 10.5.
It might get confused if you manage to get the default pointed at a directory that is also unwritable...
Can you save your modified sketch using "Save as" ?
What if you create a sketch using "new" ?