The game should save any setting changes to a player pref file. Which operating system are you playing on and does the game show version 0.0.10 in the main menu (bottom right corner)?
Gotcha, thank you! Settings are saved when you hit the accept button, which you can find at the bottom of the settings, there's accept and cancel, they're horizontal.
That's fair, you shouldn't have to expect elements to suddenly be horizontal when everything else is vertical. I have changed it now that everything is in a vertical line. It'll come with the next update. Thanks for bringing this to my attention!