SQL Nav. should remember the last directory location of OPEN or SAVE operation, even after SQL Nav. restart.
I have created an ER for this. For the time being, there’s a option Default Directory in Preferences -> Genereal -> User Interface. This option specifies the initial location for Open and Save dialog. You can change it to you most recently used directory. I know this is not as good as remembering the last path but I hope it helps. I will keep you posted on the progress of the ER.