If you put your look+feel setup in your normal app or window constructor, then the projucer will never run that code - remember that it just instantiates the component that you open, it doesn't call main().
A more foolproof way to do it would be to use something like a SharedResourcePointer which creates your custom look, and then make your individual components reference that. Then when the projucer uses a component which uses this shared object, it'll get created and used.
We also want to add a REPL to it next, which would be very handy for this kind of thing, as you could just load the look + feel you want from the command-line.