You have 3 main configuration tools in Ubuntu Natty (besides Appearance). One of them is pre-installed, and two of them you have to install yourself using Synaptic, for example.
These are: Configuration Editor (type gconf), dconf Editor (dconf-tools) and CompizConfig (compizconfig-settings-manager). Not all options in each of them are supported in Natty. Also, when you use CompizConfig, do not use things like Cube, and even for those parameters you can still use, changing them may make your Natty panel disappear -- just log off, and log in back.
As I know, the auto-save feature is not supported. The only thing you may still use the gconf editor is to choose the icons on the desktop: apps>nautilus>desktop. It is very useful as you may actually UNcheck volumes_visible, if you do not want the connected HDDs and stuff to appear on your desktop: in Natty they appear on the left panel anyway (you can change this -- see below). You may also define the opacity for your window captions: apps>gwd (make sure that Blur is on in CompizConfig).
dconf Editor: here you have your Unity desktop options. Go to desktop>unity. form-factor defines whether the launcher (when you press Win) will be full-screen or not (it is not for laptops/desktops by default, and it is full-screen by default for smaller netbook screens). Now, in desktop>unity>devices you set if you want to see you hdds, usbs and other connected stuff on the left panel. You can check out other options as well.
CompizConfig: you should be very familiar with this thing, but now not all features are supported.