Hello Ryan, the DP-03-SD looks similar to the DP08, so to save you would press the Menu button, then step through the menu for Song, then Save, after which you get to use the "wagon wheel" to scroll though the alphabet, whilst selecting characters by pressing the relevant button, to create the song name.
Finally you will need to press the Exec(ute) button to store the saved song name on the SD card. It is easy to forget to press the Exec button, which will result in the song not actually getting saved. The active song is followed by an asterix (*), in the list of song titles that you can scroll with the wheel.