"Save" is used to save your current project. It saves the entire scene (including objects, lights, environment, and so on) on the main scene file. Do not remove or overwrite this file. To save off selected objects onto separate files, use "File - Export".
You can also turn on the auto-save option to make a backup at regular intervals (see "Options - Preferences"). Note that the backup file is different from the original, and is used while restarting the program after an abnormal exit (like a system crash, a power failure etc.). So it is recommended that you use "Save" frequently, to make your changes permanent.
Hint: If you are at that stage of the project where you are just building several objects (not setting up the scene), then use "File - Export" to save off each object to a separate file after you build it, and remove it from the current scene. This will not only keep the main scene uncluttered, but will also speed up saving and auto-saving of the scene.
