Security Tab (Preferences Dialog)

Check Use master passwords to create master password. Master password setting dialog will appear.

Uncheck Use master passwords to remove master password. You will be prompted for current master password, even if you already entered it in current session.

Use Change master password to change master password. Master password setting dialog will appear.

Use Remember password for duration of the session checkbox to avoid getting asked for the password again, when reconnecting lost connection and for background transfers. WinSCP will keep the main session password in memory.

In releases prior to the latest beta version, the option is available on Transfer/Background tab.

Read more about Preferences dialog and its other tabs.