Short Answer

In /etc/rc.local put in these commands:

sleep 120
cpupower frequency-set --governor performance

1 minute after boot automatic switch to Powersave

For whatever reasons my Skylake Intel CPU always starts up in Performance mode and then switches to Powersave mode at the 1 minute mark automatically.

If you set the mode to Performance on startup it will be overridden around the 1 minute Up Time mark to Powersave mode.

In the GIF below, the 3000+ MHz CPU speed at start up appears near the top. The up time appears near the bottom. When up time hits about 1 minute you see CPU MHz drop off. :

Program to monitor exact second Powersave invoked

Create this script in /usr/local/bin/watch-gov.sh:

#! /bin/bash

# NAME: watch-gov.sh
# PATH: /usr/local/bin
# DESC: Set governnor to performance and watch for change
#       Ask Ubuntu question: https://askubuntu.com/questions/1021748/set-cpu-governor-to-performance-in-18-04/1084727#1084727
# CALL: called from `/etc/rc.local`
# DATE: Created Oct 18, 2018.

echo performance | tee /sys/devices/system/cpu/cpu*/cpufreq/scaling_governor
last_gov=$(cat /sys/devices/system/cpu/cpu0/cpufreq/scaling_governor)
Uptime=$(uptime)
echo "watch-gov.sh: Set to performance at $Uptime " > /tmp/watch-gov.log

for ((i=0; i<300; i++)) ; do
    curr_gov=$(cat /sys/devices/system/cpu/cpu0/cpufreq/scaling_governor)
    if [ $last_gov != $curr_gov ] ; then
        last_gov=$curr_gov
        Uptime=$(uptime)
        echo "watch-gov.sh: Current governor: $last_gov Uptime: $Uptime" >> \
            /tmp/watch-gov.log
    fi
    sleep 1
done

Call the script in /etc/rc.local before the exit 0 command (explained in detail below).

One minute after logging in look at the output:

$ cat /tmp/watch-gov.log
watch-gov.sh: Set to performance at  17:50:09 up 0 min,  0 users,  load average: 0.00, 0.00, 0.00 
watch-gov.sh: Current governor: powersave Uptime:  17:51:09 up 1 min,  1 user,  load average: 1.89, 0.62, 0.22

Confirmation from this answer states this 1 minute force to powersave governor is controlled by /etc/init.d/ondemand.

Sleep 120 seconds before setting Performance Mode

The simplest way to stay in Performance mode is to edit /etc/rc.local and insert these lines before the last line containing exit 0:

sleep 120 # Give CPU startup routines time to settle.
echo performance | tee /sys/devices/system/cpu/cpu*/cpufreq/scaling_governor

Save the file and reboot.

If you insert the new lines after exit 0 it will never be executed.

To setup /etc/rc.local in 18.04 see: How to Enable /etc/rc.local with Systemd

Caveats

Your machine will probably run 10 to 15 degrees C hotter.

You may need to remove other programs that change CPU frequency if they override your Performance settings in /etc/rc.local