I think the best way to do this would be to open a new empty file and make the custom styles you need. Then ‘save as template’ from the File menu. You can then use ‘new from template’ when starting any new file and your custom dimension styles will be present.
I dug a little deeper here and found that Match and Import of dimension styles is available in PC Rhino. I filed this for inclusion in Mac Rhino as well… http://mcneel.myjetbrains.com/youtrack/issue/MR-923
ImportDimStyles should work in the latest RhinoWIP to import Dimension styles from another 3dm file. You can also find this in the File > Settings > Dimensions dialog, in the little gear drop-down menu…
Please give this a try and let us know if this works as expected.