Workaround: Install Chromium. It has the same code base, and does actually remember the printer settings.

If you go to opera://print/ you can change settings and hit save.
But it doesn't save anything.

Have you found a different solution yet? I don't want to use the system dialog because I still need to change some settings in the preview.

I have the same problem in Opera 29.0.1795.47 on Ubuntu 14.04.2 LTS (x86_64; X-Cinnamon).

The settings are just not remembering. I have to change the printer, paper size, margins, headers and stuff every single time.

Whether printing to paper or 'printing' to PDF, when you need to print a lot of pages from the internet, this becomes really annoying really fast.