Looking into the readme indeed helps sometimes :)
This behaviour is intentional to give different users the chance to have their own settings.
In short the nvidia-settings config file is stored in ~/.nvidia-settings-rc and can be executed by calling nvidia-settings --load-config-only at startup.
For more details, here's the relevant part of the readme:
4) Loading Settings Automatically
The NVIDIA X driver does not preserve values set with nvidia-settings
between runs of the X server (or even between logging in and logging
out of X, with xdm, gdm, or kdm). This is intentional, because
different users may have different preferences, thus these settings
are stored on a per user basis in a configuration file stored in the
user‘s home directory.
The configuration file is named "~/.nvidia-settings-rc". You can
specify a different configuration file name with the "--config"
commandline option.
After you have run nvidia-settings once and have generated a
configuration file, you can then run:
nvidia-settings --load-config-only
at any time in the future to upload these settings to the X server
again. For example, you might place the above command in your
~/.xinitrc file so that your settings are applied automatically when
you log in to X.
Your .xinitrc file, which controls what X applications should be
started when you log into X (or startx), might look something like
this:
nvidia-settings --load-config-only & xterm & evilwm
or:
nvidia-settings --load-config-only & gnome-session
If you do not already have an ~/.xinitrc file, then chances are that
xinit is using a system-wide xinitrc file. This system wide file is
typically here:
/etc/X11/xinit/xinitrc
To use it, but also have nvidia-settings upload your settings, you
could create an ~/.xinitrc with the contents:
nvidia-settings --load-config-only & . /etc/X11/xinit/xinitrc
System administrators may choose to place the nvidia-settings load
command directly in the system xinitrc script.
Please see the xinit(1) manpage for further details of configuring
your ~/.xinitrc file.