I'm new to it, but as far as I can tell, there is no auto saving.

But. If you save your configuration files to a floppy (on 3.7 anyway) try
Code:
knoppix floppyconf
at boot. I was going crazy continually re-configureing until I found that out.

I hoped that helped.

Later.

P.S. Though if there is an auto save, that would be good to know too.