The game autosaves alllllllllll the time. To make sure it does a save before you shut down, always hit Start > Quit Game. After it returns to the Dark Souls title screen then you can turn off the system or exit the game using the PS button.
The game is constantly autosaving, and if you use the "quit game" option in the menu it saves exactly where you are. You can quit anywhere and load your game at the exact point you quit, except for during boss fights I think. --- I'll say it again, and I can't say it enough: I want to have sex with this game. -JimiMorrison187
It auto saves nearly everytime you do anything. That's what that little flame that you'll sometimes see in the upper right means. To manually save however just press start and go to the furthest to the right option and pick quit game. It will save and quit and you'll load exactly where you were when you quit. --- I watched an anime once. In the beginning of the episode a guy pulled out a gun, in the end he fired, and everything in between was angst!