Yeah, sure. Just use the M3 Game Manager.
Start it and choose Write GBA, like you always do. Now just choose the rom. After a while you'll see a dialog. In it, you see "RealTimeSave". Choose that, and choose OK.
Now put the MicroSD-card in your M3 Lite, start the GBA-rom and when you're done playing or when you want to make a savestate (there are 3 in total) you push A+B+L+R. You'll see a menu in which you can make and restore save state, reset, choose cheats and return to the menu. Choose that and the M3 Lite will Soft Reset.
I don't know if it's possible to bypass the menu...
Edit: 4saken beat me on it.
Btw, I think every game is supported, but some will behave strangely or even lock up when you return from the menu. Using Soft Reset shouldn't be a problem with any rom.