From Word Options > Advanced > Save - check 'Prompt before saving
normal.dot' then when you exit Word you will be prompted to change any
settings that you have changed in Word that would be reflected in
normal.dot. You can then choose whether to save them or not.

You will get similar prompts if you make changes that would be reflected in
a document template. Again if you want those changes to be retained for
future new documents, you will need to agree to save the changes.

If this doesn't address the issue let us know what it is that is not being
saved, and whether you have any add-ins present that could interfere with
the process.

See also http://www.gmayor.com/what_to_do_when_word_crashes.htm