You can save at any time, and the game suggests that you do so.
Anyways, I'm not loving this game as much as some of you. PS3 version here, and it looks, controls, and sounds fantastic. The 8GB install kinda sucked, since I'm still rocking a 60GB launch unit, and don't have a lot of spare space.
I'm finding the game to be boring. It's like Borderlands, but without the fun. Fetch quest after fetch quest, and the enemies seem to be bullet sponges, or at least they are with the default revolver.
A headshot should drop a scrawny little skinhead dude, but somehow they get right back up after two headshots? C'mon.
Maybe things will improve, but for now, this is doing nothing for me outside of looking beautiful.