The game automatically creates a save right before your creating your character, it's more than likely for the purpose of skipping the opening sequence.
Isn't that an autosave which gets overwritten as soon as you get several new autosaves?
Anyway, I did save before the character creation and I probably haven't click on a new game more than 3 times overall. I was never a fan of too long intro sequences cause they become a horrible pita after several new playthroughs, and this one would be kinda stupid if we could "skip" it.