I spoke too soon. Tonight I had to switch to Firefox in order to add a new search to My Favorite Searches:
- Click the "Advanced Search" link in the yellow bar at the top of most pages.
- Fill in the search form (normal page), with "Save this search" pre-selected.
- Click the Search button at the top or bottom of the page.
- Fill in the "Save as Favorite Search" overlay window & click Save to save the search.
OmniWeb 5.6 SP5 does not display the overlay window (step 4).
[submitted as formal feedback]