I should have watched the PCB layout videos again before diving in, but I didn’t. 
I am running KiCad version “after 2015-may-25 BZR unknown”
Last night, I created two new footprints, one for a SMD RGB LED, and another for a JST connector. I created the footprints using the PCB Footprint Editor -> New Footprint. Drew stuff, then clicked “Create new library and save current footprint”. I gave it a name. I then selected the new library as my current library, and also clicked “Save footprint in active library” many times during its creation.
I added my footprints to PcbNew and did the layout. After restarting KiCad, I went back into the footprint editor to make changes, and both footprints are gone! I looked in my .pretty folder, and there’s nothing there. Nothing in the recycling bin, either, which makes me believe that the files never got created, so I must have missed a step. I looked in Dropbox to see if I could find history of files in the .pretty folder, and nothing came up. Did a complete filesystem search for my footprint names – nothing.
I think the good news is that the footprint is still in my PCB layout, so… is there a way to export the footprints and get them back into my library? Google doesn’t seem to know. 
Thanks!