Right now in SC15, you have to go to the Admin or DW to create a segment. It would be nice to click a link either in the drop down of the segment selector or nearby to quickly create a segment.
Building on this, as Admins have a perfectly good and easy way to build a segment in SC v15, why not just add the ability to create segments from within reports pages as a permission to the user management console? That way, you could add the permissions to allow a user to build segments without needing to change them to an admin (which is usually an unreasonable thingt to do)