After reading a lot of things about the issue of non-saving history files after session closing in tcsh (my favourite shell, especially for its completion flexibility), I founded that putting these lines...
...in .tcshrc and this line...
set history = 2000 # History remembered is 2000 set savehist = (2000 merge) # Save and merge with existing saved set histfile = ~/.tcsh_history
...in .logout solved the problem. Now history is not only preserved between Terminal sessions, but also merged (considering command dates). Also, it is not necessary to issue an exit command, but with a normal window close, the current history is merged.
Mac OS X Hints