I have to define every time that the main document is in master mode. I can't find a "save session" in my file menu. Is there a auto save session/auto restore saved session?
I run latest texmaker on latest Ubuntu.
In Texmaker 3.3.4 (Latest version-May 24 2012), its possible to save the current session in .tks (texmaker session) format. Once you click the current document as 'Master document', just save the whole . tex files as one session as shown below.

if the latest version is not available in Ubuntu Software Repository/synaptic manager, try downloading a .deb/.rpm made for your linux distro at http://www.xm1math.net/texmaker/download.html#linux
Inorder to Install the .deb you need a gdebi package installer available in Ubuntu Software Repository