You normally add it to the "gdb startup options". Menu Tools > Options > Debugger
And it should stick thee, (but if you change between gdb and remote gdb, then you need to do it once for each of them.
If you can reproduce the disappearance of any setting in that field, then please fill a detailed bug report.
If you have the gdb setting, you can also fill a feature request for a separate boolean option.
Note, that there were reports (but I can neither confirm nor dis-confirm) that gdb sometimes crashes with the asm mode changed.