I've noticed that too with every distro I've ever tried. It becomes annoying -- especially when you have numbers in your password because as you log in to KDE/GNOME, it turns the num lock off again. I have never found a solution to that, but if I come across one in the future I'll be sure to let you know.
EDIT: Search LQ and found that Andrew Benton already posted a solution for KDE. Check out the thread here
EDIT AGAIN: Alternatively, if you don't want to compile the C program you can just follow the directions here
. Hope this helps.