Sorry, it's late and my english isn't perfect but your steps are wrong, partly.
1. Visit gray market
2. Activate unlimited resource
3. Sell 1 resource only (click on the button at the bottom to accept your actions, can't remember how it's labeled)
4. The resource you sold 1 unit from should be increased.
5. Repeat step 3-4 with all the resources you would like to have
6. Deactivate option BEFORE leaving the gray market.
If you don't deactivate the option or if you're trying to sell more than 1 resources, it has affect on other parts of the game, like researches.
//edit: Oh and if that doesn't help you out, save your game when your resources have increased and exit game completely. I'm really sure i fixed the issue with disabling the function, but give it a try.
[Edited by 0x90, 12/10/2012 12:50:55 PM]