play your game and save. Then, turn off your SNES and turn it back on. Go into the DX2 menu and choose SRAM manager. Then save your DX2 SRAM to a disk.
Remember the DX2 has a BATTERY backed up SRAM, so the game saves will NOT be lost when switching off the SNES. Of course your saves will be lost if you load another ROM which uses SRAM.
Of course you can use the realtime function of the DX2 for games that don't have SRAM. It requires the realtime save mode. Go into the DX2 menu and choose "program manager". Load your ROM into memory. Then, choose "run" from the same menu. A message will pop up asking you if you want to play your game in normal or in realtime save mode. The realtime function keys will be listed on screen if you choose to do so. Remember to press L and R during the game to return to the main menu. There, you can access the realtime save manager to save your realtime save data to disk/hd/zip.
Oh yeah, the realtime save mode will also be activated automatically if you enter any GameGenie/Action Replay/etc. codes. And remember some games don't like the realtime save mode (i. e. The Lion King can freeze up sometimes).
Hope this helped,
-Cyan