Instructions
Use the directional pad on the PSP to walk your character around the current map that you are on.
Locate a red triangle on a wall that appears near your character. These will show up every once in a while to allow you to save.
Press the "X" button on the PSP game pad while you are next to one of the red triangles. A menu will appear. Select one of the open save slots with the "X" button.
Wait as your game saves onto the PSP memory stick. Repeat this process every time you come across one of these red triangles.