Paint.NET :: How To Create Reusable Shape

I've searched under a bunch of terms (shape, sprite, copy, reusable, etc), but I don't even know what words I should be searching for

I've used Paint Shop Pro 8 for many, many years for my very occasional need to create images for our software manuals. One of the tasks I did frequently was take a screenshot of our software and then add some numbers to it that could be referred to in the text of the manual page, like the blue & white numbers here:

I was able to create those number/circle shapes once as vector images and then easily select and copy them from that file (PaintShop's PSP format) into my screenshot files (jpgs or pngs).

I've been able to create my numbered shapes in one file using Paint.NET, but not as vectors - as I understand it, Paint.net doesn't do vector. I can select and copy those, but doing the selection is very finicky to get the exact circle selected. Then when I paste it into another image, the colors are different - I assume this is due to palette differences.

Granted, I could draw the circle and the number individually into each screenshot I need to edit - this seems pretty inefficient compared to the way I've been doing it for years in PaintShop Pro.