There was a VW Gamma stereo in the audio board at a store I was working at a few months ago, and if I remember right I just stored the station by tuning it in manually and pressing (and holding) a preset button. This was a while back, mind, so my apologies if it's incorrect...
Also, if it's not keeping the station when you turn off the radio, doens't that point to a wiring problem? I.e. switched ign and perm feeds?