In CS2 I was able to save the vanishing point to my document by holding down the Alt key (option key on the Mac) while clicking on OK.

However in CS3 this functionality has been removed.

However for perspective drawing/painting such a grid can be rather useful.

I highly doubt this functionality would be removed. Changed or improved is more likely.

Ummm...have you read the Help Files?

You can still save the grid.