Once you've created a saved setup (see: how to save multiple setups of a set), you might want to rename it to something you'll easily recognize later:
Step 1. Press the menu button on either controller and choose Sets from the main menu.
Step 2. Find your set in the menu.
Step 3. Click on the dropdown menu at the bottom of the set listing and choose Setups. This lists all of the available setups for a given set.
Step 4. Click on the Rename icon next to the setup you'd like to rename.
Step 5. Edit the name using the keyboard that pops up, then click Confirm when you're done entering the new name.
Your setup will be renamed moving forward.