Hi,
Thank you for using SQLyog and thanks for your suggestion. Well as of now you need to save the data individually in each of the query tabs before closing SQLyog. I have added this in the issue tracker. Please go through the link below to view the same:
http://code.google.com/p/sqlyog/issues/detail?id=954
We will discuss this in the next team meeting and take this up based on the priority assigned. We will inform you once this has been taken up.
Thanks and Regards,
Aparna