Well 'just' entering another init level is not very smart, because (some, it not most) apps crash then, so you can loose data.

I'm aware of that so I make sure I don't have any data I care if I loose before I execute a command like that.

You can only save you session when you logout (because it absolutely useless to do this while you're still running a session). And use the xfce4-autostart-editor for running stuff when you login.

Thanks for the tip on the editor. But why is it useless to save the session unless you logout? I often just hit "init 6" or "init 0" when I want to quit and this doesn't seem to save any changes I did to my session, so I always have to remember to logout first instead.

What directory should I put files that I want to be parsed during setup? I want to add i.a. "xset"-commands there.