1st time nub player here 
Thereās no option on the menu for saving.
So itās auto saving, right?
Just wanted to make sure before I closed the game, so I accidentally donāt lose my progress
The game uses a checkpoint save system: whenever you get near a New-U, the game saves. Itāll also save whenever you quit via the game menu, so donāt worry about losing your progress.
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Youāll hear a chime effect, and the vault symbol will flash on and off in the top corner of your screen. IIRC it should also save whenever you fast travel.
If, however, you force-quit using whichever key sequence is appropriate for your OS, you lose everything since the last check-point.
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Those little Hyperion towers (like the fast travel ones, but without the floating globe)? Thatās the checkpointā¦ just get close to it, and itāll save (with the indications mentioned above). If you manage to pull off something difficult, find something rare, or otherwise want to save your game without quitting, just keep in mind where those things are, and go near them when time permits.
Further, itās not a bad idea to back up your save game files; there are, rare (some people seem to see them often; I have never seen them) events that can corrupt your save files, which would cause you to lose your progress or otherwise ābreakā the game for you. As you appear to be on PC, they can be found here for newer Windows operating systems:
C:\Users\(your name)\Documents\My Games\Borderlands 2\WillowGame\SaveData
Just copy everything in that folder to a safe place whenever you see fit. Hopefully youāll never need it, but if you do, youāll be super glad you did.
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