As I recall, there is no way to save the game apart from the automatic savepoints (similiar to Farcry).
With GRAW you really do need to be very "dynamic" in how you control your team mates so that you don't have to constantly watch your back as you move into new areas. The game relies on slow but methodical tactics, like for example peaking around corners and taking short surveys of the immediate surrounding before moving in. You also need to plan your attacks out carefully, e.g. there might be a few enemy soldiers who are sitting ducks but taking them down might leave you vunerable to sniper fire from somewhere else. Some people hate having to do this, but I loved it to bits.