Greetings and welcome!
I am not a Halion expert, but I do use it.
If you access the Program pane, located by default at the bottom right corner of the Halion plugin interface, there is a vertical list, of named, Program 2, Program 3, Program 4, etc. If you double click on one that is not yet populated, a new slot will appear in the Slot Rack on the left. Then you can add a preset to the slot.
There are certainly other ways to approach it, but this seemed the most expedient to me. let me know if it suffices or not, and I would be happy to help find more ways to access what you need in the interface.
Steve