In revision 4 of the Support Package, a method was added to ViewPager which allows you to specify the number of offscreen pages to use, rather than the default which is 1.
In your case, you want to specify 2, so that when you are on the third page, the first one is not destroyed, and vice-versa.
mViewPager = (ViewPager)findViewById(R.id.pager);
mViewPager.setOffscreenPageLimit(2);