One way to do it is to open the Script Editor and paste/write your code into it and then select it (not sure if that's nessecary) and go to File -> Save Selected to Shelf... That way you save the script to a shelf icon that you get to name... Only problem is that this takes up a lot of shelf space if you have many small scripts...

If not I guess you could open up a text editor such as Notepad and write you code in that and save it as a .mel file and then run that from Maya... Not sure how to exactly do it this way though