In his Macworld: Mac OS X Hints article Secrets of the Color Picker, Rob Griffiths exposes some excellent tips, including this one:
If you have a lot of custom colors, and you’d like a better way to keep them distinct from one another, consider using a custom color palette. To do this, first click on the Color Palettes item in the Color Picker’s toolbar — it’s the third icon on the toolbar, and appears as a series of three overlapping color boxes. This is the area in which you can create your very own customized color palette. If you click on the List drop-down menu, you’ll see that Apple already provides a number of palettes — Apple, Developer, AquaPro, etc. To create your own, select New from the bottom of the drop-down menu.