i'm not sure what you are talking about here, converting wav to mp3 is effectively the same as saving them to a file (an mp3 file), so when you say "after converting my WAV files to MP3, I can't seem to save them to a file", that implies you want to save to a mp3 file, and then do another save straight afterwards.
perhaps you mean you can't convert at all because you lose the highlighting of the files, but i can't figure out how that would happen, since highlighting files and hitting the "convert" button does not lose the highlighting. even if you hit the "encoder settings" button it would not lose the highlighting either.
and i'm not sure why you are surprised that exiting the program would lose the highlighting, but i'm guessing you have mis-typed something. removing files would of course lose the highlighting, thats the whole point.