I recently had a special problem - for our lecture, I wanted to record a video with the GH definition in the foreground and the Rhino viewport in the background. However, making the canvas transparent proved to be quite difficult, especially because of the grid in the background.
As it has been discussed on the forum a couple times, the Grasshopper color settings are stored in the grasshopper_gui.xml file, so you can just open the file in Notepad and edit it.
For keying, I generally use an ugly pink (with grid disabled) and for working with GH I prefer a grey background with a slightly visible grid - anyway, I didn't want to restart GH whenever I changed from one "mode" to the other, so I just wrote a small C# script to deal with that.
Just a quick advice: In GH, go to "File/Special Folders/Settings Folder" and backup your grasshopper_gui.xml file as the changes are saved to it. If you delete it, GH will automatically create a new one with default settings the next time you start it.
Perhaps some of you have a use for it as well...!
P.S.: The ghx file contains the code as a scripting component while the gha file is a custom component which you would have to copy into the Components directory. They do exactly the same thing!