You don't say what version of avast you are using, free/pro/ais ?
There is no specific function to save those or any avast settings, this is something that we have been asking for for some considerable time.
Personally I don't think the site blocking is a great benefit because you have to enter the sites individually, you can't import (or export) lists. So I would say that there are better options, use the HOSTS file (or a hosts file manager) or add them to your firewall settings or use your browsers functions to block (firefox with the AdBlockPlus is good).
Edit: Just been checking and they are in the C:\Documents and Settings\All Users\Application Data\AVAST Software\Avast\WebShield.ini (XP location) C:\ProgramData\AVAST Software\Avast\WebShield.ini (Vista, win7) and this could be saved.