This feature allows you to save a game in progress, at any time during any wave. When you activate the Save Game key (Return by default), you will be prompted to choose one of ten save-slots available. Then, you'll have to type in the desired name for the situation. After that, the program will save your game and resume playing.
This means you should only save a game when you're safe enough; it wouldn't be wise to save a hellish situation, like when you have three bees haunting ya, plus a couple of raiders and a red base!
Later, when you'll choose to play the saved situation, you'll simply have to choose the corresponding option from the main menu. Keep in mind that the animation will start immediately, so... be prepared! The overall lesson should be to save only when a wave is almost cleared, or just started, so there won't be a lot of enemies to face.
A saved situation will contain all game data, including game mode and any eventual cheat key activation.