I closed the SSH client but the changes were not saved.
I made the changes again and now it says:
File Name to Write: /storage/.coinfig/sleep.d/99-toggle_rate.power
and the green cursor is after .power
Do I type exit and press the ENTER key ?
You press ENTER to save the file.
In nano you can save the file at any time with CTRL-o (hold down the Control key and press o). When you do so, it will ask you for the file name, but it will already be prefilled, you can just hit the ENTER key.
You can then exit with CTRL-x (hold down the Control key and press x).
Once you exit nano with CTRL-x, exit PuTTY with 'exit'.