User defined colours in xfig are per file. To get a decent selection of colours, a good way is to have the xfig-libs package installed and import one of the complex example pictures from the library. This way you get all its colours. But be careful; these colours can make it into exported postscript and cause your interpreter to really crawl.
This tip courtesy of Charles Gray, who is currently in the process of obtaining a PhD in xfigology.