Click on the button to open up the context menu for the FX, and then you can hold-click "Save preset as..." and drag it onto any FX slot or any other Insert in the mixer.
This also works for Synths on Channels. And it also works for doing it across multiple instances of FL Studio (so you can easily transfer settings of an FX or Synth across a project without making a preset).
EDIT: It also works with "Save score as..." in the piano roll.
How to easily duplicate an FX with its settings
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