Yes checking the dozen or so other threads on this is a good thing
As said, its a bug that will be fixed in November or so... for the time being I've found you can avoid it by making sure when you add a new game/app/whatever, go to Settings -> Applications -> Manage applications -> Select the Media Area on the top, and scroll down... Anything with a green check next to it, select and click Move To Phone. This will keep it from disappearing, I believe. If it's already gone, you have to wait, they'll come back eventually, sometimes if you reboot but sometimes just at seemingly random times. When you catch one that came back, Move it to Phone. Annoying I know, but it will help til its fixed next month.