Does it turn off when you turn the car off and go to "connecting" as soon as you key on? Your car may not provide power to the OBDII port when it's off. You could tap some power into the backside of the port easily.
However, the SGII should save your settings even if it loses power immediately after you set it up.
Well when I repower it on the car, it won't turn itself on anymore unless I press the home button. It seems like it works and then it doesn't work, with it mostly not working when it's hotter outside (it wasn't in the direct sun).