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Tools > Effects and Filters > Video Effects

I change some of them (brightness, shade, ...), and it works, the video i watch responds to the changes.
Then i close vlc, and the next time i start it all the settings are the default ones. So i have to reset them. Again.

Anyone knows how can i make changes of video effects permanent?

You have to transcode the video if you want to permanently apply those effects to that video. VLC doesn't store those settings, but you can create .bat file that will open VLC with proper settings.
viewtopic.php?f=14&t=46202#p152964

For those still looking to keep video filter configuration permanent (contrast/brightness/saturation/hue/gamma) here is what I had to do with my settings using Windows 7 and VLC media player 2.0.5 Twoflower:
--Under Tools/Effects & Filters/Video Effects/Click on the Image Adjust and you can adjust to your liking. Then close.
--After that, you'll have to go to Tools/Preferences/Advance settings/Video/Filters/Image adjust/adjust to your liking again (this won't adjust right away like the previous settings--you won't be able to preview your changed setting from here, you'll have to save /close/ then start again the see the changes. You'll have to do this each time you want to make a change and until you are satisfied with the outcomes. Once it is set to your liking that is it.
--FYI for those utilizing the VLC media player 2.0.5 Twoflower, ensure that in your Tools/Preferences/Simple Settings/Subtitles & OSD, the On Screen Display for Enable On Screen Display (OSD) is clicked on. It is by default but I clicked it off to get rid of the onscreen volume writing which at the same time messed up my video filter settings. Sometimes they worked, but often I needed to enable it manually each time I played a different video file. So ensure it is on if you want to keep your video configuration permanent. Cheers