Config fuse settings are embedded in the boot-loader firmware .HEX file. You just need to make sure the programmer you're using is NOT making any changes to the default config fuse settings before you burn the loader firmware into the target.

I use the MeLabs PICProto80 with the 18F8720 & MicroCode Studio Plus boot-loader. It works fine.

Let me know a few details, and I'm sure we can get you up & running.

Just fill in the blanks after each A:.

1. What device programmer are you using?
A:

2. What version of MicroCode Studio are you using?
A:

3. Are you making any changes to config fuse settings (other than the defaults in the loader firmware) before programming the loader firmware into your 18F8720?
A:

4. Are you including DEFINE LOADER_USED 1 & DEFINE OSC in the beginning of your code?
A: