You also have to go to EDIT/PREFERENCES and make sure Image with scene Save/Open is checked. Also a nice little tip that may save people time and is what I'm doing in my Ambush render. As you have most of your scene done and are just going to be adding details and/or objects, render the whole scene with whatever settings you want then save the file. Now one or more objects or make changes and if you have done any pre-rendering to see if you have it in the right place and textures,etc just go to File/Open Image and load the .bmp that was saved with the file, plop render and resave. Continue to do this and your image will slowly complete as you work on it. The above won't work if you are rendering a huge resolution or something like that but is useful if you render at the size you are working on or smaller. Of course you can always just do the whole thing render/stop/save/continue to render.