That's the problem, it should be as simple as just typing cd cgminer-gekko (if not already in the dir) sudo ./cgminer and have it start mining on the pool/s (after filling in the pool/s and everything "once", without any more typing.
But because it can't read/write the cgminer.conf file I have to type: sudo ./cgminer -o stratum+tcp://stratum+tcp://solo.ckpool.org:3333 -u 1JiWuyX94wrCr7JhkAn7x5qNMCEef1KhqX.Jake36stick --compac-freq 150 every time.
Edit: that is on a Pi 2 with fresh and updated install of 2015-05-05-raspbian-wheezy on it. And scrolling back after every step of the build and seeing no errors in the build. Hmmm, that gives me an ideal, try building with out updating raspbian and see if maybe something in the updates are not compatible.
Edit 2: I have cgminer-4.9.2 running on a second Pi 2 with the same raspbian on it, but it reads/writes the cgminer.conf file, but it was done back around when 4.9.2 was first released.
This is probably a long shot, but could it be a permissions problem? Maybe the user you're running cgminer under doesn't have write permission for the destination folder where you're trying to put the config?
Of course I would expect it to error, but not quit or crash. So maybe that's not it. Worth checking though.