You are right, it is pain - there really is no upgrade mechanism in place yet. Sorry about that.
As you might have noticed, some (but not all) settings are retained if you do not choose Remove in Add/Remove Programs, but choose Change and then Remove and disable the "Remove all user settings..." option.
Many settings are kept in the Workspace, so open the previous Workspace after first running the new build and you will see even more settings stick.
I do that when switching to the next build (and we do that a lot :-) and it helps somewhat.
This is certainly something we are fixing and will have in the next version release.
XLnow - the makers of OnScript