I've found quite the bug, much like ChaosAzeroth. I'm unable to save, and all permissions I can give it are on. Now, I'm on a Mac system, and it only has the game and a file titled credits. Is there supposed to be some sort of folder in it as well? Or is it a simple bug? I'd love to continue exploring the game, but I can't really do that without that feature.
Edit: I do think it's the Mac version. Got it on Steam and tested out the bed method of saving with a throw away file, and it saved perfectly well. The Mac version must simply have a missing file or something. Makes me feel a bit better, now that I can enjoy the game more.