Whenever you create a new game, you must follow this procedure or dismemberment will not work.  As the game 
begins, Rosh says his lines to you, and an autosave occurs.  The moment this happens, quit the game and load 
that autosave.  Upon loading the autosave, dismemberment will work - it should work for the rest of the game 
thereafter.  Please note that THIS METHOD is the MOST common solution to dismemberment problems - the above 
method only works sometimes for certain games.

The reason this happens is simple.  When you start a new game, the autoexec does not load properly.  Because
dismemberment is write protected, you cannot execute any .cfg with the write protected command ingame.
Therefore, you must reboot the game to reboot the autoexec.  I largely assume that the failure of the initial
startup of a new game's dismemberment functions is due to the setup process of creating your character.