Ok going to assume you are on PC. I downloaded a fresh copy of v0.7. Before booting up the game there is no save folder. As soon as I was able to I tried to save the game. Saved the game and checked to see if a save folder had been created, which it had. Closed the game and was able to load the save.
Even manually creating the save folder does not cause an issue. If you are having trouble with your saves make sure you are making your save folder in the www folder. That is where the save folder is created.