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When a project depends on other projects and a build is requested, all files opened from related projects must be saved, eventually with a confirmation window (as in Java case).
this bug is still present in the latest Europa version
There is preference General->Workspace->Save-automaticaly-before-build. Looks like it is exactly what you are asking for.
Hmm, maybe not exactly as it saves only in the project being built. But it is the same as bug 170590. *** This bug has been marked as a duplicate of bug 170590 ***