Just read an old thread of people complaining of the same problem in an older version of cgminer.  The temp workaround was to hit the x to close the miner instead of using the Quit option.  The downside is that cgminer doesn't reset your clocks and fans on exit, but who cares right.  This works on this build of sgminer.  You can also set CGWatcher to kill the process instead of quitting when stopping or restarting (Settings -> Miner -> top two check boxes).