On the memory card screen you are given 3 options.
And then once click you are given 2 and the bottom one is the highlighted one.
After you click one of these 3 options the 2 options given are yes being the top and bottom being no.
Please take note the bottom option out of the 3 given is DELETE which will permanently delete your data if selected.
If you own 2 memory cards you can use the middle option is copy which will copy your data to your other memory card.
I haven't tried the top option yet.

And on super monkey ball under options (after the click start screen)
The bottom option and the option under that option should be auto save.