To create a clip from your animation, select the section of the timeline that constitutes the animation in the Collect Clip track.
In iClone 8, you will then get the option to save it as a Motion Plus clip. This is what you want to do. (There is also an option to add it to the Perform menu. but I couldn't get that to work because the default path is incorrect.)
You can now apply and loop the newly created animation clip. At this point you can also add it to the Perform menu.
EDIT: The Perform error occurs because the MotionPlus folder is set to "$\MotionPlus", but it should be "$\Animation\MotionPlus" for iClone 8. This is a bug.