That's more complex than you think: a Color and a Pen aren't the same thing, and a Pen is a scarce resource, so when you use your own, you are responsible for Disposing it correctly when you are finished.
private void myPanel_Paint(object sender, PaintEventArgs e)
{
using (Pen p = new Pen(colorSet[5]))
{
e.Graphics.DrawEllipse(p, 50, 50, 8, 8);
}
}