This should have worked. If you load a scene, changed the hair and/or morphs or clothes, or if you have even replaced the entire figure with one of your own creations, you can save them as a new scene with a new name. This is one of the core functionalitys of VaM. While writing this: are you sure you have loaded the new scene, or did you opened the old scene again? The newly saved scene is not to find at the left side of your loading menu like the downloaded scenes (which can not be changed). If you open the "load scene" menu, it should be right in the starting folder of this menu. You can change to this folder back again by clicking on the top entry at the left side vertically menu. It is normally somewhere in the "save" folder of your VaM directory.