About the saving is not a stupid question at all, more like a stupid oversight from my end. I only add feature after feature to the menu but I think it's time to overhaul the menu a bit. Currently you can only save once you have changed something in the editor, which will mark your filename as changed (you should see a * next to the name at the top). When you then click close it should save it. I have to improve the saving stuff - which will include the export overwrite things that I need to fix as well.
The build command - oops, I think that is actually a bug, sorry. You should never loose any work, and yes it should ask you if you want to save. Will see if I can fix for the next release.
The saving stuff won't be in the upcoming 0.7 version as I try to release fairly frequently and am pretty busy currently with the next big feature (editing layers - finally! but psst, don't tell anyone :D ).