Easy tune 6 allows you to overclock whilst still being in windows, its not as good as doing it via the bios, but it will atleast allow you to test things.
There never is any mention of overclock stuff in bios updates, 1Day or someone else will have to guide you through flashing the bios though, as like iv said before, i don't know gigabyte boards at all.
But if u are 100% saving then exiting, and its not sticking, that to me indicates a bios issue, and these are generally fixed by updating it.