From the Android app, with a single device, you can create new effects and save to device. But there doesn't seem to be a way to download, load, or save those effects for other devices. Is this correct? You CAN download featured effects to all devices.
Effects can be saved or loaded across other Auroras, but it is a little hidden.
On the page with your scenes listed, there should be a small right arrow (looks like this ">"). It's a small tap target but if you hit it, it will bring you to an editing page.
Tap "Edit" on the top right corner and if you have multiple devices paired to your Home, they will be listed with checkboxes. Select the devices you would like to download the effect to. Save your changes by tapping "Done". Head back to your Scene list. When you tap on the scene, it should now activate on your selected Auroras.
We are working on bettering this interaction and we are open to suggestions.
@wtf, this is actually not possible for the moment through our native app. We are thinking about better ways to accomplish this. Note that static (transition type: "none") Effects cannot be easily transferred due to layout considerations.