No you can create save files but I am running 1.1.1. What firmware are you running? And does any one have an ETA on sound? It would be so much better if it had sound.
Also anyone who likes Lemmings (I like to build crap!) try the game "The Lost Vikings" so fun you'll love it. It's great game that you can leave off reall easy to in case you don't have mass amounts of time to dedicate game play.