A general overview (with some specific advice) is "How to use the Settings class in C#" by Seun found here:

http://www.codeproject.com/useritems/PropertiesSettings.asp

User-scope settings are saved in the Local Settings folder:

%UserProfile%\\Local Settings\\Application Data\\[Company]\\

where [Company] is specified under Properties > Application > Assembly Information...

The Settings.Default.SettingsLoaded event will not fire until a setting is called.

The Settings.Default.Upgrade() method must be called in order to obtain previously saved settings. You can call this method when there are no previously saved settings without an exception penalty.