If you go to options>cookies and highlight a cookie you want to keep in the 'cookies to delete', to the 'cookies to keep' column via the arrow in the centre, this should remember the sites you want then.
You may have to visit them again to get them in the list if you have cleaned them out!
Also have a read here for more info about CCleaner
http://www.internetrotsyourbrain.com/ccleanerbeginnersguide/