Well, the machine does save internally and it does keep the save game as long as the game is in the built-in memory. But when I use the backup function it does not keep the save along with the ROM.
Now, looking at the steps, maybe I have to literally do what you are describing. As in, right after I save, press R, then select, save, then immediately go to the backup update screen and backup the ROM.
Now that I think about it, if I turn on the machine, it does not load the save until I press start. So if I just turned on the machine and backup the game, it just backups whatever is there without loading the save. Urgh.
When you backup the ROM, does it add some sort of save file along with it? As in, if you load it on an emulator, it allows you to continue progress?
I really should have just ordered the one that comes with the SD card, the seller said he would send me the games and now he is looking the other way. I noticed the built-in ROM had the LCD driver option on it, apparently the slow-down is due to the screen not being fully 60 fps, (hence the tearing).