Oh great to hear that you are enjoying it! As explanation: The Level Designer is a separate application from the game. I think you have most of the steps, but from the beginning:
(i) You load and run EFPPLD
(ii) design your level
(iii) F to get the save/load/quit menu
(iv) SAVE your level eg as P01 (this will create new files on your drive called PM01 and PI01); make sure you have enough disk space if you end up designing more then a few levels
(v) F then QUIT to exit the Level Designer
(vi) load and run EFPP
(vii) Play Campaign P to start at P01 and continue to P02 if there is one (or Practice Campaign P Level 01)
Obviously start small and simple to get the hang of it all.
Lmk if any issues on the above, but that is pretty much how I designed the five levels that ship with the game.