If you're using the helpfile of Notes 5.x and it states this way of doing it, then it should be correct (Little rusty on R5). Try to open a mail (e.g. one of YOUR sent mails in your send folder) in EDIT mode and see if the options appears...
When I do this in R6, it gives me the option to 'save as stationary' under Actions | Tools
Brgds,
TrooDOS