It prompts you to save on exit, and also every so often (every ten minutes maybe?) if you've got unsaved changes.
You can also just use the fairly universal CTRL+S keyboard shortcut to save whenever you want.
This - I think the saving is pretty robust in NVEdit, though the fact that the question is still out there means it is not obvious (which it isn't unless you know the keystrokes).
An updated manual for NVEdit comes out tomorrow night, I'll make sure to include mention of this in there.
Miax