I'm pretty sure I did what I was supposed to do.
Went to Appearance > Custom Sidebars, under Replaceable Sidebars, I selected all 3 in the box and hit Save.
I then created 1 custom sidebar that showed up on the Widgets page. I put a widget in that sidebar, then went to my blog page and selected the new sidebar from the dropdown box and saved the changes. When I viewed the page, it was still showing the default sidebar.
Did I miss a step?