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As far I can tell, the feature of creating multiple parties does not work on the GOG version of the game, because it automatically uses the party called "GAME." If you want to create your own party rather than using the default party, it will work as long as you call the party GAME - which replaces the default party. I am not sure if there is a way to restore the default party, but I guess you can always re-install the game if necessary.
Gudadantza: [1] Create yourself a new party (if you haven't already done so) - and remember what name you saved the party under;
[2] Go to the folder where The Dark Heart of Uukrul is installed;
[3] Delete all files with the extension .GMI and .IMG, except 2 files using your party name;
[4] Rename your party files to GAME.GMI and GAME.IMG;
[5] Play game.

You will notice that can now load the game using your party."
Nice, that did the trick.