There’s currently no way to turn something you’ve designed in the live preview into a component. A nice QoL enhancement would be to have an option in the right-click context menu (and maybe somewhere in the Inspector as well) to turn any element into a component, with a prompt to add it to an existing component document or a new component document.
Personally I like to design and build stuff out withing the context of the actual site and not in an isolated component document first.