rick4444 - To make a CDP, save your route and then open local content in CMP. Select your route and right click on it. From the menu that will open select "save to CDP". Easy.
I don't know about your other problem. Are you saying the route crashes, and then when you reopen it everything is gone? In that case it is usually a faulty bit of content, usually scripted rolling stock, that causes problems for me from time to time and crashes the game. Doing frequent back-ups at least until you can find the cause is the best bet. If everything just disappears while you are working, but the terrain is still there, well then I don't know. I would speculate on some memory problem with your computer.
edit: I have never had a problem with the undo button that I can recall in either version of the game, other than a refusal to "save" every once in a while, which makes you use "save as" with the same name to overide the previous version. Now that I think of it, I haven't had that since I installed SP1.