I don't see any way to convert the Curves "show clipping" preview directly to a mask. However, you can achieve the same with other techniques. One is to use a temporaty Threshold adjustment layer. Add the layer, set the desired level, then go to channels and ctrl-click on any channel (they will all be the same) to load a selection (mask). Then just delete the Threshold layer. For more advanced methods, learn about "luminosity masks".