Due to its RPG elements, you really won’t want to lose your progress in Contra: Rogue Corps.
The good or bad news, depending on how you look at it, is that Contra: Rogue Corps has an autosave system. You can’t manually save your progress at all.
At the end of each mission your progress is saved for you. Turn the game off mid-mission and you won’t keep any of the goodies you’ve collected up to that point. So, if you don’t want to lose any experience, money or items that you’ve picked up, don’t turn the game off until you’ve returned to Contra: Rogue Corps‘ Base Camp.
Thankfully, your progress is also saved after you make modifications to your weapons or characters in the Base Camp. Keep an eye out for the icon that appears in the top left hand corner of the screen to let you know that your progress has been saved. And when you do want to turn the game off, it’s always a good idea to bring up the pause menu and select “Title Screen”.