Softimage saves your preferences to %XSI_USERHOME%\Data\Preferences\default.xsipref when you exit Softimage.
If you want to save your current preferences, you can use the Preferences.SaveChanges() method.

Just drag this JScript to a toolbar to create a script button.

// JScript
Preferences.SaveChanges();

For example, you could create a button on the Custom tab of the main shelf (View > Optional Panels > Main Shelf):

You probably want to make the button a Script Command (external file), so you can assign a keyboard shortcut to it.