Hi,
Oshyan is right that the standard OS colour picker is used. It just so happens that the Windows one is a bit sucky and the Mac one is really good. It has a colour wheel, greyscale/RGB/CMYK/HSB sliders, searchable swatches with named items, something which lets select colour from an image you load and a cool crayon box ( well, I like it anyway ). It has an eye dropper type tool which lets you pick a colour from anywhere on the screen. It also has a whole lot of custom colour slots which are system wide, available to all applications.
Anyway, I've checked it out and I should be able to make custom colours persist across TG2 sessions on Windows without too much trouble. One thing I've always wanted to do, in fact I've wanted to do it since TG v0.9, is make a palette and swatches arrangement where you can define swatches which you can save and share with others, if you so desire. For example, you might have a really good selection of earth tones, or colours of the lesser spotted alpine bluegrass across seasons or whatever. Something for the future.
Regards,
Jo