Typically, I only have to adjust the time zone for the guide a few times a year; the settings seem to "stick" just fine for the most part, and it doesn't seem to matter whether I'm signed in or not. This tells me that browser settings are also coming into play, so if you continue to have problems, you may want to check on your settings for how often your browser checks for new versions of web pages and/or updates your bookmarks.
ETA: I just checked the program guide, and my time zone did change today. Oddly, it was showing the PT zone; usually, it switches to the default of the ET zone. I changed it to my desired zone, closed the browser window and then reopened the browser and program guide, and the correct time zone was retained.