In most cases, you can't create a custom version of an an effect from the FX room. You can, however, with proDAD or separately-purchased Pixelan packs.
The easiest way to do what you're probably wanting to do is make all of the FX edits on a single (master) clip, then right click on it and choose
Copy Keyframe Attributes. Then select as many other clips that you want to match that style, and use
Paste Keyframe Attributes.
The attributes clipboard is completely separate from the normal clipboard, so you can keep the attributes in memory even as you do other normal edits. The attributes clipboard will be cleared when PD is closed, so to apply them to clips in other projects, just load the other project(s) during the same editing session.
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