Saving in Snes9xGP works like this:
You have to have saved within the game itself, then choose "Save to SRAM" from the menu (or "Exit to Menu with Save."). This creates a SRM file on the memory card. The next time you play the game, the save point will be available.
This differs from 'Save State' style saves, like the one in LittleJohn.
For example, if you're playing Super Mario, you have to get to the first time your game is saved (hitting that big exclamation point button). The game will tell you that your progress has been saved. Now you can "Save to SRAM," quit the game, and return to that point.
I figured this out last night and have been playing Chrono Trigger at 166Mhz in Snes9xGP
In Chrono Trigger you can save your progress anywhere in the world map (don't forget to save within the Snes9xGP menu as well, though).
Cheers,
Zoink.