If you look at File > Preferences there's a reference to further preferences in a text file.  You should definitely follow the advice to only bother editing the file when Processing isn't running as IIRC it overwrites the file on closing.  There is a reference to "last.sketch.restore" which I would assume should do what you want; however, mine is set to true and that's not the behaviour I see.

I'd also love an option to choose to open a sketch in the same window rather than creating a new one each time; but you don't always get what you want...

Well, obviously that option does not work for me also.
Anybody?