Your hero is saved as you work on them. If you leave the Character Creator without saving, you can return to your draft hero by clicking Create a Hero in the My Sheets section of your account and you'll find the last hero you were working on there.
Publishing vs. Save as Draft
While OSR+ is in beta, all users can create multiple heroes that are not visible to the public. Click Save Draft to immediately save your hero, so you can work on other ones in the meantime. Click Publish to make your hero publicly accessible. When you click Publish, the Character Creator will make sure you filled out all required fields, and then let you know what you missed.