I use both. Firefox does loose your bookmarks, if you don't save them. It also doesn't shut down the session....
I have only one session window open. Those are ones that I closed. Can't understand it.
Firefox does loose your bookmarks In firefox >tools >privacy >cache >settings button (lower rt)
You can select which info to save or not.
Reimport of of IE preferences is easy also:File >import ...&specify