Instead of memorizing which settings for what game, is there anyway to save such a setting with shadow hearts so I won't have to manually go into options and set EE clamp to full everytime I play it?
Yes, you can use the commandline option --cfgpath=NameOfTheGame
Create a shortcut for PCSX2 and right-click it, then go to properties and add --cfgpath=NameOfTheGame to Target in the pop-up menu.
For example "C:\Games\PCSX2\PCSX2.exe" --cfgpath=ShadowHearts
This will create a folder called ShadowHearts with the config of the game, which the shortcut will use.
Or you can use a frontend app like PCSX2Bonus.