Ok, I'll answer my own question.
Load is already in on the drop down menu.
To save, browse to c:\user\<WINDOWS PROFILE NAME>\AppData\Local\Frontier Developments\Options\Bindings right after saving, the file you are looking for will be called Custom.Binds
Copy this file, then rename the copied one something sensible. It will then show up in the controller presets.
To the devs - just add a "rename" option next to the "apply" button or something.