On this page of the Diablo 2 Resurrected guide, you'll learn how to save the game, does the game feature autosaves and does it allow for quick saving. You will also learn how many save slots there are available.
In Diablo 2 Resurrected, there is only one way to save your progress. It's done by using the menu and picking the "Save & Quit" option. The game, however, features autosave - you won't lose your progress in case the game crashes.
Creating multiple save slots for a single character is not allowed - you can't undo your progress or reload to avoid death. Each one of your characters has only one dedicated save slot.
Where should I turn the game off?
An important note:
Each time you start up the game, the monsters swarming traversable areas will respawn. It's convenient if you wish to farm for gold or gear; less so if you quit the game before finishing the area or defeating a boss after fighting your way through hostile crowds.
A good location to finish your session with the game is a waypoint, from which you can resume your quest when launching the game again. If you're not planning on playing for hours at a time, its worthwhile to give yourself a single goal and finish it before quitting.