Most settings are stored in dot files in your home directory. I don't use live CDs very often so there might be a better way but something you could try is picking up a cheap USB stick, like 512MB or whatever you think you could get away with as a home dir. Then when you boot Gnoppix, mount the /home/<user> to the USB stick and then any settings you save will be put there. Next time you boot it, remount and same as before, settings will take and it'll be like Christmas all over again