By default, all instances have Global set to Off - that is why they are destroyed between layouts as described in the manual. If you select Global to Yes in the Properties bar then you will achieve the effect you are looking for.
I personally prefer to store all object properties in an array or variables as I find it easier to manage - because I then know exactly what characteristics are passed to the sprite each time the layout starts (enables a re-start or re-try option, for example).