Welcome to the forum, Grayp
It sounds like you are doing everything right -- if the preset files are being created, they should show up in the menu and in the Modify Format/Case drop down button.
My laptop is on a server domain and therefore 'My Documents' is a redirected folder - I don't know whether that bears on it.
I am wondering if this is causing the issue.. Let me check the code and see what I see -- I might send you a debug version that will tell us where it is looking for the preset files, which might tell us what's wrong.
It has to be a simple problem, so i'm sure we can get it fixed asap.