So, in your color picker. Go ahead and click on drop down menu at the top (maked bellow)
When you click on it, you will have option to add themes. When you add theme, then you can drag and drop colors from SRGB Preview box (Old and new). When you drag it, it will be permanently added to that theme. You can drag multiple colors to remember them. Also you can remove them by dragging them to the trash can icon on the right.
Anywhere in the app, again click on dropdown and select your theme. When you select it, just click on the color and it will be applied.