WithanH - the game does auto-save on log-out. Actually it auto-saves with every action you do like - move a unit, or create an army. But sometimes - interruption in your internet connection, or overload of bandwidth can cause the problem like the one you are reporting.
It helps if you don`t download, or upload anything while playing DoF (even youtube videos can overload the connection).
Also I would recommend logging out to main menu and logging back in once in a while, to make sure your connection hasn`t interrupted and progress is still saving. We are constantly working on improving our network code, and this issue only effects small number of players, hopefully with-in a month this issue will be a thing of a past for everyone.