You'll have to go to the option screen for that particular rom.
In Sakura, slide the rom to the left instead of right, and you'll get to the options screen. There, you can choose how to boot the game, choose "slow boot" instead of "fast boot" or something like that. It will take longer to start the game, but you'll be able to save. That's what worked for me with Mario & Luigi Superstar Saga at least.