Hey Haywire
So the game doesn't have any CD32 support apart from the controller. I'm not sure how you are playing it but I'm guessing it must be via WHDLoad? Are you starting it from a hard-drive/workbench setup? If so then you probably need to change the write cache settings in WHDLoad or make sure you exit the game with the quit key each session to ensure it saves the data to hard-drive.
If you're playing from a CD32 disk I'd be very interested in how because I've never built one or know of anyone who has!