It would appear as though Saurik has made a change to the latest version of Cydia (1.1.2) which will no longer prompt you to "make my life easier", which was "code" for saving your SHSH Blobs.
Now, it appears as though the process is automatic, so you no longer get asked if you want them saved (of course you do!), they just appear. This happend to me and several friends as well as being confirmed by other members of the forum.
If the top line of the home page in Cydia lists your SHSH on file, such as 4.3.3, then your blobs are safe of Sauriks server and can be used in the future to restore...
I have updated our FAQ with the details, and would encourage everyone to give it a read!