This is the most annoying dialogue in the entire CS6 suite. Premiere doesn't ask me if I want to save changes every time I select a different clip. Why does Prelude? After logging 100+ clips, it really starts to wear at you.
I hope this gets a few other users to submit a feature request on this one.
Thank you for submitting the feature request. In the meantime you can manually save the clip you have modified (Cmd-S/Ctrl-S) before opening another clip to avoid the dialog.