By 'settings', do you mean the actual configuration for the benchmark, or do you really mean after creating a character you wish to save it as a template to use in creating a character in the actual game? If it's the former, on the Benchmark splash screen click the 'settings' button, then after making adjustments in settings, simply click 'OK' at the bottom right corner of the window - it should save it automatically. If it's the later, after creating your character in the Benchmark it will ask if you want to save what you have done to a 'save slot' which is saved in your My Documents folder. This can be accessed in the main game on the character creation screen.

Hopefully this has helped.