@ Bad Mr Frosty
For saving on the XBOX you could just go into the emulators options and change where save states are stored. The default is E:\saves\winuaex so that should be fine. Then just use the save state ability of the emulator.
It's not an ideal solution because you'll have to have willpower not to save every minute and it doesn't work for every single game but it's better than no saving at all!
Another (drastic) option would be to install a 200gig Hard Drive in your Xbox and then copy the whole DVD over to it!!!