Session-only versus persisted settings
Some commands change something for the current session only. Switching the active model with /model, for instance, applies from that point forward in the current conversation but never retroactively changes anything already said earlier in the same session.
Others, specifically /effort, /theme, and /config auto-approve, are saved and carried forward into every future session automatically, so there is no need to set them again each time you open tCode.
See Configuration for more detail on exactly what each of the settings-oriented commands actually changes and how persistence works for each one specifically.
A useful way to tell which category a given command falls into without checking documentation each time: if running it again in a brand new session would still show the same result you last set, it is persisted; if a fresh session reverts to a default, it was session-only.
Account commands, /login, /logout, are a distinct third case worth noting separately: they change something about your account's active session state specifically, which is neither purely local-to-this-conversation nor a saved preference in the usual sense.