I like that one, it looks like you are having fun.

One thing that I can think of that could make a difference in how the effects look in Xara is the resolution of your effect in Xara. You need to set the resolution that Xara will render the effects from the options effects & Plug ins tab there are two drop down boxes one for default Live effect resolution and one for default locked resolution I found it works best if you set both of those at the same. I keep mine set at 300dpi as I often need to have things done for print. You can actually type in any amount you want in those boxes (a lot of Xara's input boxes are like this) Be aware though that the higher the resolution the longer the effect will take to render.

I don't think it is a case forgetting to lock the effect because if you don't lock it Xara will try to re render the effect if you do anything to it and for some reason this kicks up an error from Filter Forge, and you lose the effect. I have reported this to the folks at FF and as they have said they want to make Xara a fully supported host program I am hopeful that when the next version of FF is ready for final release that this might get fixed.