My import Golf came without a radio/CD

I looked at the gamma/additional CD option but have just gone for a stock Sony CDXMP40.
It plays MP3s so don't need a boot changer

Anyway when I power off for more than a few minutes i.e. take the keys out it loses all it's radio settings and clock time

Any ideas ?
Can't you swap the pins round in the connector to find a "power always on" one ?
Regards
Jerry