To create a packaged data source in Tableau, you should go to the Data pane, right-click the data connection, and select Add to Saved Data Sources. When saving, choose the Tableau Packaged Data Source (.tdsx) format, which bundles the data source and any necessary local files into a single, shareable file. Options like Export under the Worksheet menu, Save As, or Share under the File menu do not directly create a packaged data source.