1) to get settings accepted, you must press navi on the setting, using only 'left' will back out again without changing (just thought I should mention it)
2) unless you're running an older build, settings get written to disk the moment the disk spins up, a disk spinup is forced on shutdown if settings are pending. There used to be a bug in there, so use the most recent build you find....
3) if you're unsure, you can view/edit the config file: .rockbox/config.cfg all the settings have names that can be understood easily. You can make .cfg files that only contain settings you want changed and save those files in some place. Running them will load those changes (this is a nice way to quick-switch between setups)
if you're still having issues, let me know....