Wiring both memory (yellow) and running (red) wires of CD player to ignition wire of Volvo harness (blue) won't work, as you noticed. :-)
When you turn the ignition off you cut out the power to the player thus erasing all the memory. What you need to do is connect red wire of the CD player to the Volvo's blue and route the yellow one of the CD player to green/red wire of Volvo's radio harness. In case it's not there just route it to the fuse box and connect it to the fuse with constant power, number 7 will do just fine.

Hope this helps,
Matej