I must not be seeing something.
It seems like the only way to access the dialogue for setting the priority for a task is after I save the task... I can't seem to be able to while I am in the process of adding it.
the right-click menu is indeed only accessible after saving the task. However, it is possible to set a priority while typing the task name. To do so, simply include !p1, !p2 or !p3 within the text and the appropriate priority will be set for this task right away.