I'm looking to duplicate a column in my data set, but set anything with a value between -0.02 and 0.02 as missing. I don't want to exclude the entire row associated with that data point, however
It sounds like you need a new formula column, check out this article for ideas, or search documentation for 'formula column'.
hit escape, to make sure no rows or columns are selected
use the Data Filter in the Rows menu to select the range of values in the column you're interested in.
(yes, I know this selects rows)
click the column header for the column you want to effect, and then either the delete key, or right click on one of the selected cells and click Clear.
a formula would work too. something like this. "|" is the symbol for "or". "." is the symbol for "missing"
if( :col <= 0.2 | :col >=-0.2, ., :col)