This particular bad decision is exacerbated by the fact that finding the setting to change this exposes another questionable design decision. Did we really need two Preference dialogs? And no, calling one of them Preferences and the other Properties really doesn't help. Especially when the criteria for the location of a preference/property seems to have been the result of a decision process involving dice, coin flips and the astrological alignment at the time of implementation. My feeling is when you manage to thwart a programmer that is used to using complicated IDEs you've done a really good job at bad design.
But I digress, it's easy enough to change the Don't Save Before Building setting (if they had just called it that I think they might have thought twice about the default value). Well it's easy to change if you can find it, which I often can't. Most of the time I find myself using the Project preferences or typing Ctrl-3 to do a quick search. In this case it won't help. This particular setting is under the Windows menu. So use that menu and the image below and check the box indicated. Why wouldn't you?