I really wish SNKP would add this option.
KOF 96(and the same goes for 94 and 95 to some extent) takes a LOT of time to finish, far more than other fighting games since you cycle through EVERY team before the boss and there are a lot of teams.
I can barely finish Street Fighter Alpha 3 since I play it during the trip home every night. I could leave it on sleep mode but I also use the music player a lot and end up cancelling my game if I'm in the mood for music.
If not save states, then something like a stage saving option like what SNK used before in certain versions of their games.
Just my two cents. And before someone says emulation, I AM aware of the emulation scene and can re-flash it for custom firmware anytime since where I live, you can rent a Pandora Battery for a paltry sum. I just choose not to for now since the temptation to pirate would probably be too strong to resist... for me at least.
Usually Fighting games don't have saves, so that you may return to that level later.
So that what makes fighting games more challenging or more boring, depends on the game.
Use your Mk22. How? Just pull the trigger! Like this? pff! Watch where y... Z z z z...
but... its on PSP isn't it... can't you like... just put the PSP to sleep and turn it back on when you want to play again..? :\