LR Denoise does not produce DNG

Hi

Quick question - I tried to use the Denoise function in LR on an image.  After processing for more than 10 minutes it showed it had completed but no new DNG was produced to be used in further edits.  Is there something I am doing incorrectly?  Do I specify DNG location.  Exporting the photo I imported as a DNG does not have the Denoise applied...