[whpalmer4]

Okay, here's a simple, no-fuss approach.

Select the text of the script from the web page. Do Edit->Copy.

Go to the Terminal app. Type

cat > foo
press the Enter key
do Edit->Paste (all of the selected text should appear)
press the Enter key
press the control key and then without releasing it, press the d key.

You should get the shell prompt back at this point.
Now type

chmod +x foo
press the Enter key

Shell prompt again. At this point, feel free to use the Finder to rename the file.