How are you trying to save these settings? Did you see a web page that told how to do it?
"If you want to follow Puppy development but remain fairly casually involved, just bootup from the CD. When you boot Puppy from the CD for the very first time, Puppy files will load off the CD into RAM and run totally from RAM -- however at the first shutdown you will be offered to create a file on your hard drive or USB drive, to be used for storing all your personal data. Thus, next time you bootup, all your personal settings and data, such as email, is still there."