Click this link to see this traditional method.
BUT if you have a RefWorks account, you can actually use the RefGrab-It feature to capture citations in PubMed. This allows you to completely by-pass the traditional method of saving a text file before importing.
You can do this one citation at a time, or as I prefer, if you have several citations, send them to the Clipboard in PubMed and then use RefGrab-It to import into RefWorks.
Watch this narrated video to see how.