You did nothing "wrong"... just not "correctly".
You must save a layer style in order to be able to apply it at any time. If you just open the Layer Styles window, add a couple effects, then decide to remove the style, it will not be saved. And thus, it will disappear on you.
You can fix that in one of 2 basic ways:
1) Save the style to your Styles library if you really like it.
2) In the pop-out menu for the layer style, choose "Copy Style" before choosing "Remove Style. That way you can paste it back in at a later time if you wish.
TIP: it's often necessary to save a Style incrementally while working on a project. Save it to your library, and if you decide later you won't need it, just delete it from your library. It takes no time to do these things, and the convenience is well worth it.