In the upper part of the dialog showing the list of scenarios you will find two radio buttons controlling where the scenarios are stored.
Selecting "Global Scenarios" ensures that the scenarios are saved in the user home directory.
After changing the selection to "Project Scenarios", the scenario list will be stored in the project file. If your project is saved on a source versioning/sharing system (CVS, SVN, Source Safe, etc..) then your team can use the scenarios you defined. Predefined scenarios like Docbook HTML, Docbook PDF, TEI HTML, XML Spec PDF which are added initially by default to the list of global scenarios are not added by default to the list of scenarios stored in a project.
Other preferences can also be stored at the project level. For more information, see the Preference Sharing section.