Open the image you want to make into a brush (You can make ANYTHING) or type the text you want to. I made a signature/watermark brush for this Tutorial.
When you're done Select all.

Go to Edit> Define Brush Preset

You'll see a dialog window that asks you to name the new brush. Name it whatever you want.

Now open your brush palette and go to the very end! Hooray! Your new brush is there!

Now to save your brush go to your brush palette and hit the little arrow in the circle (see image below) and choose Preset Manager.

You'll see a box that contains all the brushes you have loaded. Pick your brush (or a set of brushes with ctrl+click) and click "Save set". Name the set of brushes to your liking and save it.

Congratulations! You now have a backup of it! You can even share your custom brush with the rest of Elftown in Digital Art Resources!

Happy Brush making!