If you right click on the layer you wish to save for later use and select Export Layer, you'll have the option to save just the layer by itself. Saving it as PNG file will allow you to save it with a transparent background, so when you bring it back in (using Import Image to Layer) it will retain any transparency it may have had.
As for saving colors you like this video is a quick tutorial I made for someone, which covers the different ways to create and select color pallets for ArtRage. The Color Sample Panel would probably be the best/easiest option for you. Select Tools > Show Color Samples Panel or hit the "S" key on your keyboard to bring up the panel. You can then load in a saved, downloaded or default color sample sheet to use, or you can begin creating a new one by select a color from your painting (Alt + Left click) and clicking on the New tab at the bottom of the Color Sample Panel (it'll give you the option to label the colors as well).
Nothing is easy to the unwilling.