You do have to create "Custom" the first time you want to use it, so that's fine. Also useful to know that when you upgrade to, say, MC34, your custom folder will be copied across as part of that upgrade process.
Why isn't it working? I don't know...
Possible reasons...
The contents of your resource.xml file are formatted incorrectly.
Maybe you didn't name the file correctly?
Maybe your chosen key combos are already taken by another application?
It still works, and works well. I have four custom shortcuts, 2 global and two not global. The contents of my Resource.xml file in my "Custom Resources" folder look like so:
<MJRS version="1.0">
<ACCELERATORS>
<!-- Global shortcut that begins a Play Doctor session -->
<Entry Key="Ctrl;Alt;R" Command="10047" Global="1" />
<!-- Global shortcut that activates or closes the Playing Now popup -->
<Entry Key="Ctrl;I" Command="30033" Param="0" Global="1"/>
<!-- Go to folder containing selected file and select it -->
<Entry Key="Ctrl;Alt;D" Command="26004" Param="-2" />
<!-- Toggles the tree pane open and closed -->
<Entry Key="Ctrl;T" Command="22029" Param="-1" TranslateFlags="23" />
</ACCELERATORS>
</MJRS>
Hopefully that helps you out a little bit. Good luck.
-marko