You are not the first to ponder that one.
Highlight your note. Then at the very top of the Design Library task pane, click the icon in the upper LH corner. Its tooltip says Add to Library. This will then open a dialog over in the PM area.
I have 5 icons.
apply default attributes to selected note
add or update style
delete a style
save a style
I can not find the "add to library" icon
If you Pin the Design Library (little push pin icon at top right) then you can CNTRL Drag the annotation to the folder you want it to go to. Not much different than Wayne's method.