georeferencing - How to Georeference in QGIS 2.12.1 Lyon

I used to be able to Georeference in QGIS but now I can't. These are the steps I go through. At the end of it nothing happens. No layer is added to my Layers Panel and no document is created in the nominated directory. Can anyone see what I am missing or doing wrong?

1. Click on ‘Web’ (in the top menu), then ‘OpenLayersPlugin’


2. Zoom into NE coast of Australia and find 5 points on the OpenStreetMap that I can match up on the scanned map.


3. Click on ‘Raster’ in the top menu and then ‘Georeferencer’


4. Click on the ‘Open Raster’ icon


5. Make sure that the CRS of the scanned map is EPSG:3857 (ie. same as OpenStreetMap)



6. Click a point on the scanned map, then choose ‘From map canvas’, then click the corresponding point on the base map (OpenStreetMap), and click OK


7. Repeat the process described at #6 five times (ie. create 5 registration points)


8. 
   

   Click on ‘Transformation Settings’ and use following settings:

   
   

            Transformation type: ‘Thin Plate Spline’
            Resampling method: ‘Nearest Neighbour’
            Target SRS: EPSG:3857 WGS 84 Pseudo Mercator
            ‘Load in QGIS when done’ = ticked