Some parts of my project aren't saved in the .blend file I created a model and added some Actions in the DopeSheet editor (more or less 5).

I exported the model to my game engine, saved the .blend file (Ctrl-S) and closed it.

Then I opened it again, and all the actions were gone, it just had the one I was using last.

The same happens with some preferences (for example, I disabled mip-maps on User Preferences -> System, and I have to re-enable it every time I open the .blend file again.

Does somebody knows how to restore the Actions and save everything? Thanks.
Blender does not save unused datablocks you need to add a fake user to store datablocks that are not in use. See DataSystem Sections Users and Fake User

The setting of mip-maps is not stored in a .blend file you would need to save the user-preferences in the same dialog (button in the lower left corner).

Related:

What does &quot;users&quot; means in term of datablocks?