in the activity onCreate…

SharedPreferences prefs = getPreferences(MODE_PRIVATE);
timePicker.setCurrentHour(prefs.getInt("hour",10));
timePicker.setCurrentMinute(prefs.getInt("min",0));

in the activity onDestroy…

SharedPreferences.Editor editor = getPreferences(MODE_PRIVATE).edit();
 editor.putInt("hour", timePicker.getCurrentHour());
 editor.putInt("min", timePicker.getCurrentMinute());    	 
 editor.commit();