This is basically a problem with Palm (unless you're using Windows Mobile?). The operating system is not designed to allow multiple programs to run at once, and those that do are hacked to make it so (Pocket Tunes, ChatterEmail, etc). Which means that Pleco gets told by the operating system to close when you try to switch applications (and Pleco, being an obedient program does so).
Pleco 2.0 will allow you to save Flashcard sessions to resume later, which is almost what you want, but not quite there.
If you have a Treo, you can bind the volume buttons in PocketTunes to the volume buttons to the buttons on the side.
If you're running Windows Mobile, then this post is a mostly useless to you I'm afraid
