Two ways I'd recommend.
Keep all your saves and autosaves on your HDD. Only keep 2 at most if you must of each Char. then..
Install the game to the HDD (if you don't already)
And move the most recent patch (1.5, 19MB) onto a USB Flash Drive. When you load up Skyrim select the HDD for your save files. The game automatically recognizes the Update no matter where it is in the system.
These significantly increased loading times overall for me. Same goes for when I want to Sleep/Wait. At one point the game was taking (near) 2 minutes before even starting the sequence (after you choose the hours to wait and select it).
Did those methods above and the game runs much smoother then ever.
EDIT: Fixed typos