This is probably well known, but I just stumbled upon it today.

When building a WinForms app, the output dir (i.e. bin\debug) is recreated, so any blah.exe.config file you may have there is deleted.

To keep your config file - you must add it to the solution, with the name app.config (not "", but just app.config)

The build process will rename and copy this config file to the output dir and name it appropriately.