To save colors to a swatch, simply select a color, then click the '+' button. You will see the selected color appear in the saved area of the color interface.
You can clear all swatches by clicking on the 'X' in the top right hand corner of the menu, or you can delete single swatches by selecting them and pressing the delete key.
Once you apply the color to your Control Track you will see the colored block in the Color Track. You can move this block around and stretch it out. Double click on the block to edit the color if you want to change it up.
Creative Tip: Try to use colors that are complimentary and work well together. To add variety, use different color schemes for different songs. This will make things interesting for your crowd without being too confusing.