If you use one of the new custom rule wild cards, do you have to choose the color before setting the rule?
It is unclear what you mean by “setting your rule”, but you don’t choose a rule when you play the card. You are supposed to write rules on the cards before you play a game. Then, when you play the card, the rule is followed. In general, the rule wouldn’t be something that matters whether you choose your new color before or after it happens (like it is with the normal wild card draw 4 card). If it is something where it actually matters, that could be specified as part of the rule itself. From the rules:
Wild Customizable card – Use a #2 pencil to write any house rule you wish on a card. The only limit is your imagination (and the consent of the other players). Before the game begins, decide how many of these cards to include. You may use only 1 or all 3, it’s up to you. This is a wild card so you may play it on your turn even if you have another playable card in your hand. Also, you choose the color that resumes play. If this card is turned up at the beginning of play, the person to the left of the dealer chooses the color that begins play. NOTE: the cards are erasable, so you may write a new rule each time you play!