First you need a new line art layer and to use the vector tools provided. Use the curve tool and edit tool to create your speech bubble shapes.
Below in red is where to find the line art layer. Click it to create a new line art or Vector Layer.
On the new line art layer, click four points in a rought squared egg shape like below in the large red square. Use the curve tool to make this shape. The curve tool is marked in a little red box to the left of the image below.
Now select the edit tool. Then from the middle of each point, click and hold then drag outwards to create a new point and deform your shape into a rough circle. You may need to change between your edit options to edit the shape. Translate should be fine to do most of the shaping.
Then you can use the curve tool to ad the speech bubble tail. That's all there is to making speech bubbles in sai. Of course you can draw