Well, if I close CodeBlocks with an open project, the project will be automatically loaded on the next start.
When I close CodeBlocks a "Save Workspace" dialog box appear, and I always click on "yes". This way CodeBlocks save the workspace with the opened project(s).
I'm using CodeBlocks beta5 but if I remember well, this feature existed also in beta4.
The only problem is that after the automatically loading of projetc(s), nothing is selected by default. I have to select it manually on the Projects tree-view.