Which client are you using? In 2d, I've never been able to get the journal to save just by clicking the option in the UO Options menu. I posted this on our guild forums:
A few people have been asking how to save the UO Journal to help with writing up in-game RP sessions. The following are the instructions:
As for the journal, edit your uo.cfg file with notepad. You need to add the following line in there. I don't know if it matters where the line is located so just try it at the end.
JournalSaveFile=c:\Journal.txt
Now you can change the location as it suits you. I actually save the file into a folder called UOJournal, so my line would look like:
JournalSaveFile=c:\UOJournal\Journal.txt
I wouldn't recommend using spaces, however. Not sure how UO manages those.
Finally, make sure this line is set to On in the uo.cfg file:
SaveJournal=On