If you wish to save a game, go to any one of Green/Red poles. When you see the Borderlands logo on the right side of the screen you'll have saved. Another way to check to see if you're saved up to the point you're at is to go through the exit process yet stop right before you exit the game you're in. When you're selecting exit it should either say All Progress Saved or You will lose unsaved progress. The former is the correct message to see if you wish to save your progress. Any Fast Travel Station is a save point as well as many other Red Poles which turn Green when you've saved (walked by them).