Nope, you've not messed up anything. Saving SHSH blobs is a separate process from actually jailbreaking. You can do one without the other, although it is a good idea to make it a habit to save all available SHSH blobs whenever you can, regardless of what you intend to do with them.
So, go ahead and run Tiny Umbrella (if you don't have it, Google for it and then download/run it). You'll only be able to save iOS 4.3.3 blobs (and some iOS 5 betas) 'cause those are the only ones Apple is signing, but it's a good start.
BTW, there's a sticky in the Hacking forum that you can read - teaches you every thing you ever wanted to know about SHSH blobs...
Hope this helped.
Marilyn