That's a good idea, not saving the image right away to facilitate experimentation. I've always been annoyed when an editor automatically saves something you just created that you might end up having to delete and start over; IDEs in particular are notorious for forcing you to save newly created projects (Sphere Studio also being an offender here).
As a suggestion for a future iteration it could be useful to see an actual preview of the generated spriteset before actually generating it; this would let the user fiddle with the values and see the results in realtime, before clicking OK.
CSomeClass object(arg1, arg2);return &object; // dangling ptr, ticking time bomb