The quick answer is 'add the following to the very end of your .bashrc file':
shopt -s histappend
...Or something like it, that's directly out of my .bashrc file.
The correct answer is 'read up on the bash shell'.
I highly recommend Learning The Bash Shell (http://oreilly.com/catalog/9781565923478).
Otherwise there's a lot of free material on the web to get you started, for example :
Also, Romanovzky and Dennis have a valid point - the file may already be there.
You might also make sure your user owns and can write to your .bash_history file :
sudo chown $USER:$USER $HOME/.bash_history
sudo chmod u+w $HOME/.bash_history