Try this, after you are done playing your game press R and on the first menu that pops up on the bottom screen, then scroll down and click Exit. The game should save and then take you back to your ROM list.

Otherwise you need to press X to save the SRAM as someEBfan stated.

 

When you save in game you have to press X so it's saved to your microSD.

 

Two things:
1. Upgrade to the latest version 0.11, available at http://gbatemp.net/index.php?download=2246
2. As was stated by others, the order in which you save is important. When you save in-game, Lameboy updates its emulated SRAM but does not write this data to the *.sav file on your card. To update the *.sav file, you press X. So first save in-game, then press X to finalize it. Using the Exit function also automatically updates the *.sav file.