Once I have selected and highlighted a subset of the data, how do I export that selection to a new data file (CSV).

Turn off the visibility for all the other data points apart from the subset you have highlighted and then select File>Export Visible Rows and select CSV as the Files of type. Enter a filename and choose a location. Use the File>Export Selected Columns menu option if you only want to export selected columns (as displayed in the Select Variables dialog) as well as your visible rows.

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