I assume you selected "Custom sheet size" when setting up your new sheet format?
And if yes, are you sure you saved the sheet format correctly (File > Save sheet format)? Did you save it at a location other than the default in the SolidWorks installation folder (such as somewhere else on your hard drive, or on a network)? And are you pointing to this location at Tools > Options > System Options > File Locations > Sheet Formats?
Finally, once you've got that all straight, if you'll open a new drawing and switch the active sheet (or sheets) to this sheet format, then you can save the drawing template so that the next time you start a new drawing with this drawing template it will already be using the new sheet format and there won't be a need to switch to it.