Hi me in the future.
This is me, scratching my head over how to preset layers in Autodesk Eagle. It is such a useful feature with such a weird prerequisite for it to work!
First off, you have to use your mouse (no command line for shortcuts!) as of now to go to layer settings. Mouse over to this icon on the top left of your screen.
SELECT and highlight all the layers you want to be in your new new layer set. This is important, else Eagle will not register your layer into the new layer set.
Select New Set, choose your name (not case sensitive, it will always be lowercase afterwards), then select OK.
And you are done! You are welcome!