Cant save CUE points

Please help :-( 

I have followed the tips and instructions to save a cue point. I'll play the track (in export mode), pause and press CUE (and the orange triangle moves to where i want it), press MEMORY (and the time of the new cue point is displayed).  I can continue to play the track and if i press CUE the track goes back to the CUE point i had saved - great!

However........as soon as i move to another track and then back to the original the CUE point has moved back to the beginning of the track. The time of the CUE point i had saved is still saved but not activated by using the CUE button and so doesn't follow through when i save to my memory stick for use on CDJ's.

I'm sure i'm being a goon but please if anyone can help i'd be so thankful as i've tried everything.