Use "include" in nginx server block but where to save?

You can put the file wherever you want.

If you use a relative path, however, then it will be relative to the nginx configuration directory (e.g. /etc/nginx on Linux, /usr/local/etc/nginx on BSD, etc.).

I personally create a directory /etc/nginx/includes and place these configuration bits in there. For example:

server {
    server_name deploy.example.com;

    include includes/listen-80;
    include includes/letsencrypt;

    return 301 https://$host$request_uri;
}

Where /etc/nginx/incldues/listen-80 contains:

listen 80;
listen [::]:80;

And /etc/nginx/includes/letsencrypt contains:

location /.well-known/acme-challenge/ {
    root /var/www;
    try_files $uri =404;
}

Of course I have many other such configuration bits.