Being a roguelike, Sifu is an extremely challenging game. So, chances are you’re going to want to make sure your progress is saved.
Like many games these days, Sifu has no manual save option. Instead, you have to rely on the game autosaving your progress for you. It’s not ideal, but it’s perhaps a design choice meant to prevent players from cheating.
In any case, Sifu saves your progress at regular intervals during play, so if you quit your game or have some kind of unfortunate incident, you’ll never loose too much progress.
Upon completing a level, Sifu also gives you numerous crutches. Anything you’ve found that goes on the message board, such as keys, are kept. That means when you replay levels, you can skip large parts of them. You can also start from any level you’ve unlocked at the lowest age you’ve reached it. So, you might fight up the fifth level, decide you’re too old, then battle your way through the prior ones again until you’ve reached it much younger with your new skills.
So, when it comes to saving your game in Sifu, it’s best not to worry about it. Just choose to continue from the main menu, and you’ll have rarely lost any progress. Though if you want to make sure you don’t lose any progress, it’s better to quit when you’re at your hideout between levels.