I have also wondered this and never found a solution. Code folding is the main area I would like to figure out how to save state.
I spent a lot of time in one file folding chunks of code how I wanted. I saved, closed, and opened the file; all fold points were lost.
Would it ever be possible to save this state when working live over FTP or SSH? I imagine something about the file, perhaps it's md5 plus file name could be saved locally and used as a preference file to tell TM the last state.
I would also be find with the files current directory holding a single .file that stored this state data. This makes the files state nicely portable as well.