WOW!
This is a fantastic answer. It took me a bit to figure out that this can only be done if you click on the color box that DOES NOT have the colour wheel next to it. You need to use both the plain fill box, and the color wheel fill box. This really could have been done much, much easier by just letting you drag and drop from the colors picker to any color fill box.
For anyone wondering, you can do the same for the gradient fills and the image fills, by choosing one first, then dragging to the fill box as above. Oddly, none of the various shades are pre-calculated so you could have a palette of 29 colors (why not 30??)
Apple developers - this really needs some work.