If I need to stop playing immediately, I'll just save wherever I am. Generally when I'm playing and reach a stopping point I'll finish up what I'm doing, go back to town, and save then. Saving in the Pokecenter is convenient because your Pokemon will be nice and healed for when you start playing next.
I do, because it's better to come back from an accidental shut off or the battery dying with freshly healed Pokes rather than being out in the wild with half the team fainted and others running with status ailments. --- Winner of ares9090's Slaking Award Official Scrafty and Barry of the B/W 2 Boards
In most games that allow me to save anywhere, I tend to save in... well, safe places, safe being defined as a place where there's little to no danger and a place where I can stock or rest up. The Pokemon Centre is one of those places.