Your understanding is basically OK, except for one detail!
You shall not save the VIEW as an SQL file (you can do that too of course!), you should
EXECUTE the CREATE VIEW ... statement - just like you execute a SELECT - or whatever - SQL statement. Once that is done you will see the view in the VIEWs folder in SQLyog Object Browser. You wil also see in SQLyog HISTORY tab that SQLyog executes the statement
CODE
select `TABLE_NAME` from `INFORMATION_SCHEMA`.`TABLES` where `TABLE_SCHEMA` = 'some_database' and `TABLE_TYPE` = 'VIEW';
.. to 'ask' the server for information about VIEWs in `some_database` database when populating the VIEWs folder.
They do not store in SQLyog, because *nothing really* (except for SQLyog's own program settings) store in SQLyog. Data (and metadata) are stored on the server - not with the client. Understanding MySQL as a *database server* that is accessed through *client(s)*, and where all communication client>>server is SQL is 'another world' than working with Access.
Was that explanation enough?