Well I have experienced the same thing.
I am resorting to starting the python script using SSH which works fine. I have tried putting the command for the script into rc.local using LUCI as was previously suggested but this doesn't seem to work in my case. Looking at the log produced during startup, the python script fails to run. I think this may be because the arduino is not responding at this point during the bootup process to requests to join clients and servers etc.
The python code I am using is below. Any suggestions very welcome.
Thanks,
Nick
from OSC import OSCServer,OSCClient, OSCMessage
import sys
from time import sleep
import types
sys.path.insert(0, '/usr/lib/python2.7/bridge/') # make sure python can see the tcp module
from tcp import TCPJSONClient
#set up the json client and the osc client and server. The server should have the ip of your Yun.
#The client.connect should have the ip address of you phone.
json = TCPJSONClient('127.0.0.1', 5700)
server = OSCServer( ("192.168.0.21", 8000) ) #this is the address of the YUN
client = OSCClient()
client.connect( ("192.168.0.19", 9000) ) #this is the address of the phone