To add your own folders to the Designs Gallery simple create your folder and save your .web or .xar file for your Template. In Web Designer open the Designs Gallery and click the Disc Designs button then navigate to your folder and then add it.
That's exactly what I did. From this quote:

It appears that you have File>>Save Template to a different folder on your HDD. WD has now re written the registry entry to point to that other folder for it's source of (File>>New) templates.

I took it that because I saved a template in a different folder ('Nicky'), XWD is now looking in that folder for the page size templates (which of course aren't there). Am I reading this wrong?