I loved that ol' ArcMap right-click a layer with a selection and "Create Layer from Selected Features" and I used it all the time. There does not seem to be a true equivalent in Pro. Your options seem to be: 1) Export the data, which creates another feature class. Usually I just want a temporary layer, not another piece of garbage cluttering up my geodatabase. 2) Use Make Layer Feature, but this only works for attribute queries. You can't take a selection generated with interactive selection or Select by Location and save it as a new layer. (I tried running MFL on a layer with a selection, without specifying a query, and it ignored the selection and output the whole layer again, e.g. it did NOT honor the selected set). 3) Use a definition query (also only works for attribute queries).
Anybody found an alternative to export? The ArcMap option was SO elegant!