Save Data File saves the file without asking for a filename, if the file already has a name.
Use Save Data File As to save a file with a new name, the same name but with different options, or with a different file type.
To enable AutoSave, select Enable Auto Save from the File>Preferences>General Preferences>AutoSave panel.
To save an image path along with the data file, check the option Load Images with Data File in the File>Preferences>General Preferences>Imaging panel.