1. Do I copy all the text ? (including "Begin PGP Public key block" etc ...) Or only the key ?
You copy all the text. Actually, you don't need to copy it at all, just save it as a .asc file.
2. I have tried with TextEdit on Mac BUT when I try to save I don't see the .asc extension.
You can save it as a .txt, if it doesn't allow you directly as .asc, but it should be trivial to change it to .asc later. In the directory you've saved it, doesn't it show you the file extensions? If not, check:
https://duckduckgo.com/?q=mac+show+file+extension