borntobesting:If they are set to forget history on closing it will clear your flash cache and your game settings are stored in your flash cache.
History and cookies aren't related. It's the cookies that save the pertinent data while history deals with sites you've visited.
You also need to make sure WGT is allowed to store information on your computer. Right click in the Play Now box and select Settings. Make sure the box that pops up has the slider set to at least 100kb.