Normally it should be automatically asking your if you want to save it when you log into places.
If it doesn't check settings and stuff. Maybe under "sync my settings" it needs "Passwords" to be synced. (pretty sure it requires a passcode on the phone)
Jap, I meant WP 8.0Whoops, jhoff is right, I didn't realize you were possibly talking about Windows Phone 8.0.
Password syncing among others is an 8.1+ feature.