In the IDE, I can’t find a button to export my agent and device code.
I often see those *.device.nut and *.agent.nut files in examples. How do I create those myself?
Or is it just copy and paste into a text file?
Copy and paste into a text file, and then name accordingly.
The *.device.nut and *.agent.nut is not an “official” naming convention, although it’s how Electric Imp names all of its examples, and it appears to have spread through out community as well 
If you don’t have a github account, it would be great to see the code available there. You can just paste it into a new file.