Hello Russ
Cisco uses the concept of a running configuration and startup configuration. The running config is stored in RAM and is lost if powered down. This way you can program and test something and if you are locked out of the device due to mistake, you can power cycle the device to go back to the previous configuration.
On your Cisco SG200 switch, please go into the web configuration and you should see a flashing "Save" at the top right of your screen. Hit this and then you will be taken to the file copy portion where you will copy the "Running-Config" to the "Startup-Config". This will permanently save your config.
If the "Save" is not there, please go under "Admin" on the left and Copy / File section and copy the Running Config to the Startup-Config.