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Note the file must eventually have a mode of grayscale. This can either be set at the creation of the file or via the image > mode > grayscale option when you have finished working on an image.
If you want the brush to appear in your brushes palette make sure you save it to the default brush folder within gimp. This can be found under Edit > Preferences then choose/expand the Folders option from the left hand menu and you will see an option for Brushes in it. Click on this and it will show you where you should save the to.