Custom palettes are like expanded copy/paste clipboards. They allow you to put customized components or groups of components into a palette for quick access.
To create a custom palette, right click on a tab in the tabbed palette or a header in the collapsible palette, and choose New Custom Palette. Your custom palette will appear as the last palette. Your custom palette has one special button in it, the capture button (
). To add components to your palette, select them and press the capture button. This effectively does a copy, and stores the captured components as a new item in the clipboard. You can then use that item much like a normal component, and add multiple copies of it to your windows.
Note that these are simple copies, and are not linked back to the custom palette. Re-capturing that palette item will not update all uses of that item across your windows.