R sometimes does not save my history

First check your working directory (getwd()). savehistory() saves the history in the current working directory. And to be honest, you better specify the filename, as the default is .History. Say :

savehistory('C:/MyWorkingDir/MySession.RHistory')

which allows you to :

loadhistory('C:/MyWorkingDir/MySession.RHistory')

So the history is not lost, it's just in a place and under a name you weren't aware of. See also ?history.

To clarify : the history is no more than a text file containing all commands of that current session. So it's a nice log of what you've done, but I almost never use it. I construct my "analysis log" myself by using scripts, as hinted in another answer.