You can’t create a proper script file like that in the Finder any more than you can create a proper PDF file or InDesign file like that. Use osacompile.
Well, osacompile (and a branch in my new file script) it is then. I don’t think it ever worked to make a new pdf by Finder by the way, but it used to work to make a new script file, and it still works with Script Debuggger, haven’t tried it with AsObjC-Explorer.
Having had another look at the issue, I can see the saving problem. However, how about something like this:
set theText to "my script text here"
tell application "Finder"
set theFile to make new file at (path to desktop folder as string) with properties {name:"new" & ".scpt"}
end tell
set theFileReference to open for access file (theFile as text) with write permission
write theText to theFileReference
close access theFileReference