If you choose Save in either the main preferences dialog box or the application preferences dialog box (or from the File menu), the settings in that dialog box will be sent to the Sloop Sail. Sloop will immediately start using those settings. When you make a change to the preferences, you must press Save for those changes to take effect.
Note that in the application preferences dialog box, the Save button only affects the current list in view. For instance, if you are currently viewing the "Don't switch from these" list and press Save, the only list that will be saved is the "Don't switch from these" list. Other lists will not be sent.