How in the world do I save in this game? I have build 2 but for the life of me I can't save and exit, don't tell me I have to play through the entire game in one sitting? 

The save is at the house, a floppy disk icon.

Thanks

As Sindri pointed out, there's a persistent save-game icon right outside Captain Hale's cabin...

We'll be sprinkling these in other places as we add more maps to the game, so there's always a convenient save location nearby.