Firefox 4 saves the previous session automatically.
You can use "Firefox > History > Restore Previous Session" to get the previous session.
There is also a "Restore Previous Session" button on the default about:home Home page.

Another possibility is to use:

• Tools > Options > General > Startup: "When Firefox Starts": "Show my windows and tabs from last time"

You can set the warn prefs on the about:config page to true via the right-click context menu or toggle the value with a double left-click.

• browser.showQuitWarning, see http://blog.zpao.com/post/3174360617/about-that-quit-dialog
• browser.tabs.warnOnClose, see http://kb.mozillazine.org/About%3Aconfig_entries
• browser.warnOnQuit , see http://kb.mozillazine.org/browser.warnOnQuit
• browser.warnOnRestart , see http://kb.mozillazine.org/browser.warnOnRestart

To open the about:config page, type about:config in the location (address) bar and press the "Enter" key, just like you type the url of a website to open a website.
If you see a warning then you can confirm that you want to access that page.

Thank you, thank you, THANK YOU! ~:-D

Thanks, cor-el. I'll stick with one of the first two solutions for now.

Tools > Options > General > Startup: "When Firefox Starts": "Show my windows and tabs from last time" doesn't exist on the Mac. Closest thing I could find was in Firefox > Preferences > Tabs, "Warn me when closing multiple tabs," but checking that doesn't warn me or restore the tabs when I quit Firefox.

Anyone have any information on how to do it on Firefox 4.0 for Mac?

(BTW, for anyone who doesn't use the default home page and was wondering, like me, where the about:home or about:config pages are, just enter either of those into the browser's address window, without any http:// or www before (and no slash, .htm, .html, or anything else after).

About: is also a protocol, just like http: (indicated by the colon).
The about: protocol is used to access some build-in pages.

See http://kb.mozillazine.org/About_protocol_links