I could have sworn that this was added to the app, maybe I'm mistaken. When my iTouch goes to sleep, when I pick it up again and unlock it, I am at the last screen I was using.
Or are you talking about after you launch (your words) the app from home screen (something iPhone users probably have to do more). If so, this maybe a limitation of Apple Apps. As I understand it, they run kind of compartmentalized. Maybe they store the state in the settings icon/area on the homescreen, and access it on launch.