Going through some older bugs, I'm not seeing this repro on 2018.4.14f1 (with either the latest non-prerelease TMP package, or the latest-latest (i.e. preview4) prerelease TMP package). If we're still ...

Select Signed Distance Field > Generator from the Unity menu bar, the tool window will pop up. Press Create and a save dialog will pop up. Choose a location and name to save your SDF as.