You save your NCLs in a Dataset, likely the TESTEXEC. The name you choose can be any name but you need to take care on OCS Commands to avoid problems starting your NCL.
You save your self written NCL procedures in a Dataset concatenated to the COMMANDS-Library. That limits the name of your NCL to eight characters. But there is another limitation you should follow in order to avoid problems starting that NCL:
Do not use the names or parts of OCS commands as names for your NCL.
When you start your NCL you simply enter the member name into the OCS window and hit ENTER to execute. When your NCL has the same name as a command, like SELFTEST or ORDER then that command is executed and not your NCL.
When the name of your NCL is an unambiguous abbreviation of a command the same happens, your NCL is not started but the command.
You can circumvent this problem by using command START, followed by the name of your NCL. But the best solution is to use a unique name for the NCL.