The name that goes on the DATA statement is the name of the NEW dataset.
You would put the name of the OLD dataset on the SET statement. What is the name of the current YBRS dataset? Let's assume it is named YRBS2007 and it is in the directory that you pointed the MYLIB libref towards.
Then your could should look like:
data my_subset;
set mylib.yrbs2007;
keep Age Sex Grade RaceEthnicity Inclusion Survey_Year
Sunscreen_Binary BMICategory
;
run;
For your problem description you should not need to add any dataset options on the output dataset name. In fact there is probably no need to use dataset options at all.
It might be a tiny bit more efficient to use a KEEP= dataset option on the source dataset read by the SET statement. But it probably is not really worth making the code more complicated just to do that.