While VS 2003 provides an easy way to retrieve config file settings (ConfigurationSettings), it currently gives us no way to write back to the .config file. Too bad, maybe in 2005?
Some people have written their own stuff to write to config files, here's one example.
FWIW, I've started to get away from a single config file for the application, because many users may be using the same machine and want different settings. So what I've done is make an object that holds all the settings, then serialize/desialize to xml. So the application will use the .config for the particular user.