My change request is always local, but I want it to be transportable

The problem lies in either the workbench setup, the development class assigned to the objects you wish to transport, or both. Check the workbench setup with SE06->Display. Is your system set as a productive system? If so, change requests usually are not transportable. Try creating a new development class Z000, and choose any transport layer that the system allows you to choose (if your system does not allow you to choose any transport layers, then the workbench is not set up to allow any changes to be transportable). If it allows you to choose several layers, create on new class for each layer, and a new change request for each class. Then go to SE09 and check if your requests are transportable. If they are transportable, try to release one of the development classes (release the task and the request) and check that the files are created.