You can simply right-click the Desktop & click Refresh. This saves the icon positions [at least it does on XP, also confirmed on Windows 7].
Here's a simple way to confirm that this method works:
- Move an icon
- Kill explorer.exe [& restart it, if it doesn't auto-restart]
- Notice icon moves back [because it wasn't saved]
- Move icon again
- Right-click on the Desktop -> click Refresh
- Kill explorer.exe [& restart]
- Notice icon doesn't move back [since this time it was saved before killing explorer]