Double click the tool in the toolbar for its preferences:
Pencil:
Fidelity > controls the distance in px the curve can stray from the actual line drawn with the pen on tablet. Lower fidelity - tighter following but more angular sections, Higher fidelity - the smoother.
Smoothness > Percentage of smoothing applied after you finish the path (OnMouseUp)
Keep Selected > On/Off (Just what you're looking for)
Edit Selected Paths > Determines the 'snap' distance that will RE-edit a selected path, or if OFF, will not edit it.
The brush is very much the same. I suggest you double-click around the tool bar palette... you may be very surprised at all you find there !
One of my favorites: The Magic Wand Options palette that is otherwise hidden !
Sef.
Let me know if this answered your question.
It is alright to decorate construction, but never construct decoration. - Pugin, on Arch.