There are two Preferences that don't get saved in the 0.8.2 client. The option to minimize on close, and the option to minimize to tray. All the other preferences get saved, as far as I can tell.
I'm running Mac OS X 10.6.8 on a 32-bit Mac Mini, and the OS has been fairly recently re-installed and is up-to-date.
A search of the Issues didn't seem to address this; I noticed it on 0.8.1, and thought it was just an oversight that would be fixed in 0.8.2.