Yes, sorry - I am using an iMac running El Capitan. I get Acrobat through the CC programme.
Adding the 'save' option works. Thank you.
I believe that on Macs you indeed have to open a document to gain access to the Action Wizard. It's a stupid bug that doesn't exist in the Windows version.
Actually, with Acrobat DC Pro it's no longer necessary to have a document open. This was the case with Acrobat XI and earlier, but with DC that changed. When you start Acrobat, you will get a dialog that lists all your previously open documents, but also gives you access to the "Tools" area:
Once you select "Tools", you can then search for the "Action Wizard", and once found, just start it from there:
If you don't see this dialog, you can select Edit>Manage Tools to display it.