As SofiST states, the memory snapshot will work for anything.
However if you're a purist and you want to use the in-game save option for that classic disk swapping 'feel' then:
1. Open STeem's Disk manager
2. Right click in the area and select "New Standard Disk Image"
3. Give it a name
4. Drag it to Drive A:
5. Perform your save operation within the game
6. Open Disk Manager again and drag the game disk back to Drive A:
Not as quick as the memory snapshot, but certainly more reliable than the old days where you inevitibly ended up with a pile of old ST Format cover disks with random game saves everywhere!!!
*Oh and you could recreate the saved game disk to use on a real machine of course!
TT030: 4MB/16MB + Crazy Dots, Mega"SST" 12, MegaSTE, STE: Desktopper case, IDE interface, UltraSatan (8GB + 512Mb) + HXC floppy emulator. Plus some STE's/STFM's