You are setting the tab labels when you add new tabs. You can later change them using JTabbedPane.setTitleAt. JTabbedPane.getTitleAt can retrieve them.
You need to store the current labels when you close your application and and restore them when you restart. You can use several storage solutions for that; java.util.pref.Preferences, properties files that you read/write using java.util.Properties and XML files are all possible solutions.