If you're talking about application settings that you access via My.Settings then creating new ones at run time doesn't really make sense. Settings are there to help you write code more easily but once the app is deployed your code is already written so creating new settings would be pointless.
There are many ways to answer your question but the "correct" answer really depends on information you haven't provided. There are all sorts of ways to persist data so there will definitely be a way to achieve your overall aim but whether that's using a database, the config file or something else depends on specifics. Please explain what exactly you're trying to achieve.
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