After you save using the in game save option, you can exit.
You no longer have to press home then x anymore with Omega for any game. That was what they meant when they said that they added "Real Time Saves." It's not quite real time since it doesn't write the save until you either try to power down the unit or close the game, but it did eliminate the need to press x. Just remember that should your game crash, then it will not write your save to your SD Card, so it is still advised that you take a break every so often to save and then close the ROM so that it will write the save. There is nothing worse than to have the game crash and you lose progress (it has happened to virtually all of us at least once or we can name somebody that it has happened to.)