Changing assets during runtime will change them permanently (basically, any "file" that you have in your Project folder, including skins, materials, scripts, etc). Any instance or game object that you change in the scene(s), however, do get reverted.

If you're doing this via code (you didn't specify), don't use gameObject.renderer.sharedMaterial, instead, use gameObject.renderer.material, this will prevent the material from being "saved".

I might add to SpikeX's answer that even though Materials in the inspector of a GameObject are shown as though they are "on" that GameObject, this is really just a "shortcut". It still shows the referenced material (that most likely is located in the Project) and edits will be applied to that material.