It doesn't save unless you open the emulator menu and click save (or exit).
The only way to save is using save states.
Although it probably isn't the greatest way, it IS somewhat simpler if you have the controls set to using X = Save and Y = Scale. At least, I don't find it troubling to just press the X button right after saving in-game :/...btw, this isn't a save state, it's more like saving the SRAM (though I have no idea if it's actually called SRAM or not :3). Of course, with that said there are obviously other ways to save besides save states.