Illustrator is a different beast from FreeHand, no doubt. If I understand correctly, you need to pull your colors into the Swatches panel to reuse them in other objects. You simply can't create a color for an object and then have it show up in the swatches panel automatically. Use the Color Panel for this.
While Illustrator has greatly improved FreeHand-like features over the recent years, it is the core function and complex UI that frustrates FreeHanders the most. The way it handles paths, points, and selection is backwards from what we know. My advice is to forget EVERYTHING about how FreeHand works before diving into AI. It will make the experience easier and many FHMX artists have made the full transition to AI (with grumbles along the way.)
I still use FreeHand regularly today. As a Mac user, I have a dedicated Snow Leopard drive to boot into. But In my Mavericks drive, I have set up virtualization with FreeHand. You can use Parallels, Fusion, or the free Virtual Box to do this and this Forum has much information on how. Also I have a Crossover/WINE setup that allows a Windows version of FreeHand to run. But it has bugs on the more complex artwork using Paste Inside. Speaking of Windows, if you use a PC, FreeHand works fine in the latest setup.
Believe it or not, this is a good time for FreeHand users with new software that is very FreeHand-like. Gravit is a clone of FreeHand that is in beta stage. It is emerging as a very promising app created by opensource developers. Also exciting is the fully developed app, Affinity Designer, that is heavily influenced by FreeHand users and shares the same drawing functions and features. It is new and still missing some key FH features but the devs are moving quickly with updates. It is worth downloading from the Mac Store. Also, a number of FreeHanders swear by iDraw who also have been adding FH-features to their updates. I have copies of all of them...and the latest Illustrator.
Sorry for the long-winded answer. I hope this all helps a bit.