Sure, you can hit the esc button and then Save and let the computer give it a number, but then if you want to change characters (if you have more than one), then you'd have to either remember which number the character was saved under or mouseover the saves till you found the one you wanted.
Another way is to bring up your console and type savegame <name>, where <name> is the name you want to save it under. You won't need to use the <>, just name it. I generally use the name of my character as the name of the save. If they have a first and last name, I'll make one save with their first name, such as Tevyn, and then make another save labeled TevynS, as his last name is Syndelias. Then to save progress, just hit your esc button, choose Save and then I'll generally use the bottom save to make a new save. In other words, I'll overwrite one of the two saves.
For special quests, such as Through a Nightmare Darkly, I made a special save called Dreamworld. I always save my progress in TaND there for each character.
So, there's my tip on saving games when you have multiple characters so you can find them easily.