There is a server-side flag in the SonicWall Firewall Administration Tool which prevents you from saving your username and password. By default this is on - and if you go to the settings for your VPN connection, you cannot put them in. The text boxes are disabled, and you are shown the following message:
The peer does not allow saving of username and password
If your connection is poor, you will have to enter your username and password in several times a day - and this can be very frustrating. To work around this, you can use the following commandline for your SonicWall Global VPN Client if you don't want to enter the username and password every time you log into your VPN:
"C:\Program Files\SonicWALL\SonicWALL Global VPN Client\SWGVC.exe"/e "VPNName" /u "username" /p "password"
WARNING: note that if you save this to a batch file, it will not be encrypted - and so your system is inherently less secure if your machine gets stolen. Naturally, that's the main reason the "save username and password" functionality is disabled by default for all users.