if you want to create multiple new nation rules then you do them one at a time saving them and then loading, and removing teh nation rules before setting the nation rules for the next nation and saving under a different name.
e.g.
if you want to create a new league system for england and scotland and tehn put in an anglo-scottish cup. you create a new league system for england and save that, for arguments sake, new england, you then remove the nation rules for england and create some for scotland. you then save this as something different, for arguments sake new scotland. then you remove the nation rules for scotland and create the continental competition through the continental rules (or whatever it's called next to nation rules) and call it something different, for arguments sake, anglo scottish cup. then you load up all 3 and can have your new league setups for more then one nation in the same continental cup.
Notes:
this can be repeated with as many nations and continental tournaments as you like
i would advise you do all the nations first as that way if you want to change your continental rules to include more nations then you can and don't have to start from scratch
say you create one set of rules one night and save it and then don't come back to it until a few days later you need to make sure you laod the last set of rules you created e.g. if you've already created 3 nation/continental rules tehn you have to load the most recent of those 3. obviously if you've created an unrelated database in teh mean time you don't need to load that.
hope this has helped and if anyone else has anything to add/ correct or that i've missed then feel free.