First, this is not a duplicate of this, because I can't even get that far. The OP was able to put their CKEditor profiles into a Features module with all of the settings are stored in the Features module, too.
I just created a new Text Format, and then I created a CKEditor Profile to go with it. I cannot figure out how to export them on the Create Feature page.
On the Settings page for Features, I see "CKEditor profiles (ckeditor_profile)" in the list of possible components to lock, but it's not locked.