Select data into a new table in another SQL Server

In a typical select into query, your data go into a new table that is created on the fly.
My query brings together data from 3 tables in SQL Server 1, and I want to select it into a new table created on SQL Server 2.
I am using a Build, cross-connection window. The first thing I noticed is that the options in the statement type drop-down are grayed out. You can't have Build set up a select into new table for you.

When I put the SQL into a cross-connection Editor I get a red x error on the line defining the new table, even if I include an alias for the new table.

If I remove the line pushing the data into a new table, the query works.

create table as
select Col1, Col2 from also does not work

Shouldn't you be able to select into a table in another SQL Server database?

Thanks in advance.

Apparently you need to use the Import Export wizard. There must be intermediate steps that the Wizard takes care of.