Whoa. Something's not right, 'cause that shouldn't be happening to you.
It ought to just retain everything automatically. I've seen that sort of thing with files on an MMC card (which aren't officially supported) when I pull/replace 'em, but the internal memory? No, that's just not right.
The only thing I can suggest (other than contacting Sony -- [shudder]), is a Hard Reset, it might shake it out of whatever's going on....