Yes, you can! You can now save a Challenge as a draft so that you can come back to it later and make revisions! This option is available via the Save Draft button that is right next to the Release Challenge button on the Create Challenge menu.
When you save a Challenge as a draft, it will be saved onto your Profile and will not be made public until after you've released it. To make edits to your drafted Challenges, simply head over to your Profile, find the Challenge you wish to edit, and click on the Edit button on the Challenge view. From there, you are free to edit all components of the Challenge, except for the Challenge Type. When you are ready to release your Challenge to the wild, simply click on Release and viola- your Challenge is now live!
If you have a drafted Challenge that you don't want to keep, you can delete drafted Challenges! However, you cannot delete released Challenges.