This is a common mistake users tend to make. Even I've made the mistake of forgetting to have to save my level in order to even use or create a script. I do agree that there should be a note in WED for the part of adding a script that says "in order to create or use a script for your level, you must save your level first".

Gamestudio is one of the best 3D application-development tools around and you almost can't beat the price. Even in a level with 100,000 visible polygons, you can still get past 70 frames per second, even on my somewhat old Radeon 9600 XT without updated drivers.