In the new Adsense Interface (in the United States and I'm sure in other countries too) click on "My ads" up top. On the next screen, you should see a button, "+ New Ad Unit"; click that.
Then create your ad and use old palettes on this screen. You can choose your colors here, if you don't want to use a Google palette, or one of your old ones. However, GoingOnline is right - you cannot create a custom palettes in the new interface, yet.