How do I wire up my Pioneer head unit into my Crown Vic police interceptor?

I have a Pioneer DEH 3900mp I'm putting in a 2003 Crown Victoria police interceptor. It works, but it won't keep anything in memory (like presets) when I turn off the ignition. I know this is because of the yellow constant power wire, but the only way I could get the stereo to work was to twist the yellow in with the red ignition power wire. I'm using the adapter to the factory harness. So what I need to know is, what is the easiest way to get a constant power supply? Can I just bypass the factory harness plug or do I have to run another line from the battery with a 1 amp in-line fuse? Is there some other way? Why won't it come on by just matching colors of wires instead of combining the red and yellow? Is there a problem with the car's electrical or is it normal to have this with an aftermarket stereo in a Crown Vic? This is my first install and I'm a real noob about this stuff. Thanks in advance for any advice you can give.