Are you using Visual Studio 2010 Pro or Express? There are some issues like this when trying to build custom features with Express. If that is the case you can probably qualify to get VS 2010 Pro free via the Website Spark program.
Other than that, are you using a custom resource file for your setting labels? Are you copying the .resx file to Web/App_GlobalResources using a post build event? Are you using a FeatureDefinition file or just manually creating settings from the UI?
I recommend use a FeatureDefinition.config file and use a custom resource file copied by a post build event and let the setup page create your settings based on the feature definition file. The Guestbook tutorial videos cover how to do this.
Hope that helps,
Joe