If you have a color selected, you can use the Up, Down, Left, or Right keys to select a different color, and you can hold down the key to change selections faster.
You can skip the confirmation screen to delete a palette if you hold down the Shift key before you click the Delete option.
If you prefer to name palettes after you create them, there is an option in the Settings that lets you create palettes without naming them. They will have the default name New Palette.