Samsung Galaxy S - Saving preferences
Some Samsung Galaxy S firmware suffer from a known weakness in preference settings management and saving. Valid workarounds are :
Update the Android version of your phone. Samsung have corrected the problem on the latest version.
Uninstall and Install back the application : Beautiful Widgets guide
(Else, some people have fixed it by "Factory Reset" their phone)
Others with root options can do this : XDA forum
If you encounter this problem, can you report there Galaxy S - Preferences some informations to know from where it comes?