CodeIgniter - Autoload
$autoload loads a resource weather you use it or not period
So that in mind I would only autoload what you need all the time, but if I were to input my 2 cents I always use my __construct for this in the top of each controller class file. That way it loads for all pages (functions) in that class and it isn't autoloading even if i don't need it in that class file.
You should avoid autoload, because it has an impact on your performance. However think like database connection could be autoloaded if you use it frequently.
Php isn't Java, so loaded application don't persist between requests.