In my other blog I have been covering a number of Tombstoning articles:

A general article about Tombstoning:

A poorly titled article, but useful if you don’t know about the way that App.XAML.CS works with respect to the phone:

Kenny Spade also wrote a great article about using Isolated storage and has a great code sample attached to the article:

But what about the SLX Style of Project?  How do you save the state of XNA combined with Silverlight (for the Phone)?

To get started with this type of project here are a series of videos that are quite good by Larry Lieberman: