In PS and PSE when you create a new brush it can disappear if you change brush categories. You need to save it by opening up the list of currently loaded brushes (right click on your LO while the brush tool is active). Then click the right arrow and
Preset Manager. Select the brushes to be saved. Then click
Save Set and specify a new file name. You might need to play with those directions a little bit since I just have PSE.
I tend to keep the PSD files that I created with my brushes with too. I'm anal pack rat and like to keep anything that might be useful. LOL
HTH!