It doesn't save your options, but there is no real reason to put them in a script, just use the cmdline_fso.cfg files instead. For instance, I have generic options in ~/.fs2_open/data/cmdline_fso.cfg, things that aren't mod specific. For things that may be mod specific, or that use separate directories anyway, I set those options in the games data/cmdline_fso.cfg file. For stuff that's really specific, and that I may not want on all of the time, I'll specify either in a startup script or just on the command line.
When the game loads it parses the game's data/cmdline_fso.cfg first, then ~/.fs2_open/data/cmdline_fso.cfg, then the command line itself. If you have different settings for the same option (such as -ambient_factor) specified in multiple places, it will use the setting from the last one read. That will help you out when you tend to use most of the same options all of the time (like -spec, -glow, -img2dds, -3dwarp, -2d_poof, etc.) since you only have to specify them the once and it will always be able to use them.