Having seen the other answers i would say it is more "clean" to save to User options file, because it is a user setting and you might also transfer this setting together with your home directory f.e. when you migrate or copy it for other reason. Also in this cases your scite would still behave like YOU (and possibly other users) expect.
"Go to menu 'Options' and there select 'Open User Options File and
add this line to User options file ".SciTEUser.properties":
line.margin.visible=1
line.margin.width=0+ # + will expand if needed
additional comment:
for my taste the font of scite in linux is too small and therefore i also added these lines to .SciTEUser.properties:
magnification=1
output.magnification=1