you can definitely save the file at any time during the process. The tools don’t care! Step 4 I’d be interested in seeing what you mean by that. Is the model just in a different pose? I’m assuming after step 2 and before you save/export, you go to the deformation phase, yeah? Otherwise, you don’t actually have a skeleton yet, since it gets created at that point in the process. If you are doing that phase and then saving, then the proxy geo would not be visible unless you chose to have it skinned. Saving should work regardless no matter what point in the pipeline you are, but exporting definitely requires you to be in deformation phase to get anything useable.
As for your other question about the camera window, that’s for building the rig. It asks you to take a screenshot to be used as a thumbnail.