it looks like help file is out of date. You can only create snippet from inside of Snippets Window, but not from the context menu. Let me know if it works for you.
Using 6.6.0.963 (Freeware) there is no option to create a New Snippet from the New Snippets window. This is in a fresh install on Windows 7. All previous versions of TOAD were uninstalled and the system was rebooted prior to the new installation. So far I’ve not seen the ability to create a new snippet in ANY version since 5.6.x … any suggestions?