I don’t have permission to save the theme options I created myself?

You’re adding the menu page using the “administrator” role. Is the account you’re using an administrator?

Note:

1) You should be using an appropriate capability, rather than a user role. Generally, the appropriate capability for editing Theme options is edit_theme_options.

2) There is a known bug with WordPress, in that currently, manage_options is required for the form submit on options.php, which is used by Theme settings pages. This is only an issue for user roles below editor, and will hopefully be fixed in 3.2 or 3.3.

3) If this is a public Theme, you should be using add_theme_page() (which adds a submenu to the “Appearance” menu), rather than add_menu_page() (which adds a top-level menu page).

4) That tutorial is considerably out of date.