Profiles
There are two options for how you save your settings, Account Wide and Per Character.
The primary reason to use Per Character settings is if you have characters on the same account, in different guilds, that both use SKG (presumably, with different lists).
The difficult thing with Per Character settings is the characters that are in the same guild do not necessarily have the same lists, since they could not both have been logged in during the most recent changes. You will need to be more diligent about making sure your lists are synced than you otherwise would.
Important Note
If you have more than one toon on the same server that are in different guilds (even if one is Horde and the other Alliance), and you plan to use SKG on both toons, you MUST use per character profiles. Not doing so will result in corruption of lists on both sides and other general badness and errors.