As Bob says, you should make sure you tie the key you use to your settings. To do this, first put your seat, steering column and outside mirrors where you want them. Then press the Set, then the number button for the number you want to be (one or two). The number button will stay lit. While it is still lit, press the Unlock button on your keyfob. Now your settings are tied to your keyfob. If you move your seat, you'll want to press Set, 1 (or 2) again to remember those settings. However, you should not need to press the keyfob unlock button again - it should stay tied to whichever number you set it to.
Other things that are remembered are your radio station presets, your air conditioning settings, and your navigation settings. In the case of these items, I believe it just remembers whatever you set up the last time you drove with your keyfob. So if you set new XM presets, it should remember those. And I would expect it to go back to those next time you drive. Unless, of course, you use the other keyfob - in which case it will go to whatever was set up with that keyfob last time it was used.