**NOTE** This worked for me, it is not a guaranteed fix. If it does work, awesome, if not, sorry. This is only a temporary fix until there is a patch released.
Step 1. Right click on steam, load up your library,
Step 2. Click "Steam" at the top left, and click Go Offline.
Step 3. Load up Fallout New Vegas, change what you want in the graphic Options, then hit Exit
Step 4. Make Sure it Saved, Load the launcher again and see.
Step 5. Go online in steam again, Load the Launcher, it should have saved.
Step 6. Go have fun.
Steam FTL again...