Arrrgh, it doesn't copy the config files.
Check the downloads folder, it might be there.
If it is just move it to the cutom folder.
edit: should probably mention you'll need to make a random subfolder in the custom folder to put your cfg folder in.
as in
Steam\SteamApps\common\Team Fortress 2\tf\custom\config\cfg\
It just left it in the old cfg folders, not moved it all, which is weird to me.
Thanks for the subfolder tip, that system is kinda confusing.