Can I create a new album to save my screenshots automatically? (do not choose to use OneDrive)

Not an album, but you can do it with a folder.

Normally when you press PrintScreen button, it just copies the screen to your clipboard.

But if you press WindowsLogo+PrintScreen, it will automatically save the picture file.

By default it goes into a folder called "Screenshots" inside your "Pictures" folder. This can be customized to save to a different folder if you wish. The screenshots folder is a special kind of shell folder, so if you open the Properties for it, you'll see a "Location" tab that lets you decide which folder gets used for storing screenshots.