I figured out a work around for getting a custom WB to "stick" in the Quick menu.
First of all, create a custom white balance setting:
1. I.Q. menu > White Balance > Select one of the three custom WB settings (under Auto).
2. For example, scroll down to the first custom WB, press the Menu/OK button, then press the Menu/OK button once again. Now, you will be able to manually set the Red and Blue values. Save and exit by pressing the DispBack button.
3. Next, set up a film simulation that you would like to create and save it in the Quick Menu. When creating this film simulation, make sure to select the custom white balance that you created in step 2.
Done!