Tap on the + icon on the top right of your Palette tab. Your very own untitled Palette will be created.  
Double-tap on the palette name to rename it. To fill up your palette with color swatches, tap on an empty space available in the palette. Your currently active color will then be added to the palette.  You can sync your palette to the cloud by tapping on the sync icon on top of each palette. To remove your color palette, tap and hold anywhere in the palette until a delete button appears. Tap on this delete button to remove your palette from the Color Palettes tab.