you are not letting olly to keep it rather than olly not keeping it

all information regarding breakpoints comments labels patches etc are written to .udd files and they happen only if you analyze the module you are debugging
if you look at options --> debugging options --> analysis 1
you will see auto start analysis of main module checked by default
so olly remembers the break point in your main module
if you uncheck it olly wont remember the break points you set in main module too
now you may still not read the help file
so here is a small how to

when the module loaded use
1) view --> executable modules --> right click ---> analyze all modules for analyzing all modules that have been loaded so far
2)view --->executable module --> select a specific module -->right click -->follow entry ---> then press ctrl+a will analyze only that module

now also keep in mind these are universal break points
so if you load another exe these break points will pop up in that exe too with out you having to set them implicitly

have fun