ConfigurationManager.AppSettings - How to modify and save?

It might sound too trival to ask and I do the same thing as suggested in articles, yet it doesn't work as expected. Hope someone can point me to the right direction.

I would like to save the usersettings per AppSettings.

Once the Winform is closed I trigger this:

conf.Configuration config = 
           ConfigurationManager.OpenExeConfiguration(ConfigurationUserLevel.None);

if (ConfigurationManager.AppSettings["IntegrateWithPerforce"] != null)
    ConfigurationManager.AppSettings["IntegrateWithPerforce"] = 
                                           e.Payload.IntegrateCheckBox.ToString();
else
    config.AppSettings.Settings.Add("IntegrateWithPerforce", 
                                          e.Payload.IntegrateCheckBox.ToString());

config.Save(ConfigurationSaveMode.Modified);

So the first time when the entry doesnt exist yet, it would simply create it, otherwise it would modify the existing entry. However this doesn't save.

1) What am I doing wrong?

2) Where am I expecting the usersettings for App settings to be saved again? Is it in the Debug folder or in C:\Documents and Settings\USERNAME\Local Settings\Application Data folder?