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 them by hand but using these tools you can get closer to a circle shape. Enough time and patience you can create a smooth ellipsis or circle. Also use the pressure tool to add thick to thin strokes on your line art. Just like the edit tool, click and drag the points to edit the stroke pressure.
For spikey speech bubbles draw a basic ellipsis on it's own layer and then use the line art layer's Line Tool and Pressure tool to make the spiked bubble. Copy and paste some spikes and put them closer together if you want to save some time but the closer they get the harder it gets to edit the points.
Any questions feel free to ask.