Creating A TM

I have a lot of documents I want to use to create new translation memories. I just don't know how to start.

I guess I have to start with WIN ALIGN but I cannot save any win align projects so the .tmx files don't  get into the TM (if I may say)

Can you help me out with that to begin with.

I just don't know if I do the right thing

Thank you

Helene