Yes, you can make new palettes in RS. Use the Custom Swatch Manager tab, which can be found under Window>Custom Swatch Palette. Click the green + button to make a new palette, name the palette and save it as an ASE or XML file. You can drag in colors from the artwork from the Solid Colors box or Blend Groups, or from the Color Picker. The Swatches Tab is for seasonal palettes created with the Palette Manager tool in Illustrator. You can use palettes there to recolor the artwork, but cannot edit these palettes in RS like you can in Custom Swatch Manager. You can open an external ASE file by clicking the + button at the bottom of the Swatches and Custom Swatch Manager tabs.
For more information email support@aquariodesign.com for further assistance.