there are a number of recent colors used at the bottom of the color drop down window and you can select from there, but that will get replaced with the most recent colors used, so not the best method. No way yo save the colors in game, but if you want a color you like. I would save the numerical value of the color in a separate doc and then you can refer back to that list and enter the number when you want to use that color again.
Yeah I would like a favorites panel too. When I am jumping between builds, like you do, the recently used colors are worthless. I have to go, grab the color off a previous piece, then I add it to a text file I keep to save these. Not optimal.