Clicking on individual colors will create a new palette color, is there a way to do this in one step?
I'm not sure from your post exactly what you want to do, so my answer is a bit of a guess...
This is one way to add colors to a palette from the document or from a selection (screenshot from 2018):
It's also possible to create a new palette from a document:
"Add from Document" that's it! ...thanks for the image, I knew it was possible, just could not find where it was.How to get the color Palette at the bottom, It accidentally closed?
Window/Color Palettes/Document Palette