The recommended way (actually the only way to do it if you want it to survive a reboot, hint: you want it to) is to run it as a service (Windows) or started by the init.d (unix). The required unix files can be found in the init.d folder under bin. For Windows, you can for example download the JBossWeb native connectors and install them as a service. The documentation (and many articles on the forums) give details on the procedure.
Great, thank you for the quick and precise answer! Just the hint that I needed to get started.