Did it ask for confirmation, then say that is successfully made the files? If not then you are highlighting them in the wrong section. Make sure you have the 'Actor' section selected, then highlight them and try.
If the record is open or the preview window is open it won't work either. I always close, then open the CK to make sure any buffered data is flushed if I just edited an actor.
Thanks, worked like a treat, I think the reason it didn't work the first time was that I had searched for my NPC in the object window text box thing, instead of in Object Window/Actors/Actor.