I don't seem to have this option.
The option only appears after you have obtained a fresh new set of directions, and, as Robotic mentioned, only at the bottom of the directions list.
Here's an interesting twist on that. The "Save to My Maps" option
only appears when you have the "By car" option (as opposed to "Walking" or "Public transit") selected.
Why does that matter, you ask? Because the maps I want to save and print are usually maps for bicycle rides that frequently go places that cars can't. For example, one ride I take uses what they call a "Bicycle Boulevard" in which every few blocks there are barriers that cars can't go through but pedestrians and bicyclists can. This is to keep the neighborhood quiet and not turn the road into a high-speed automobile thoroughfare. Another example crosses a pedestrian bridge across a small stream that requires a long detour if you are in a car.
If you have your Google Mapping set up "By car" you can't force it to map your actual route, whereas "Walking" will allow it. But "Walking" I can't save the map.
Somehow given the state of the world (wars, genocide, economic devastation) I don't think my problem ranks very high, but I did find it interesting.
tanstaafl.