To step in, then: In order to save characters in the Loader, there's a few round-about ways to do it
a) You make all the red file paths green by giving them files to go to, even if they're unnecessary. For example, if it has a red file path that insists on linking to "BG.png", pick some random background png file to fill in for it. If one of the lines insists on linking to a SWF, use a harmless non-intrusive SWF like Modguy's drip out.swf that just adds some mouth overflowing. When everything's green it'll let you save.
b) You save the characters in normal SDT then export the character list and load it in the Loader.
c) You save the characters in normal SDT, then generate the char code and load it in the Loader.
Of course, the way that is probably intended is for you to save characters via the mod-folder method, but I don't like to do this as it clutters up that menu really fast.