Gamecube SNES Emulation Question regarding SNES9XGX

[gam3rsmedia]

I'm currently modding my Gamecube and I'm using SNES9X as the emulator.
I'm testing out Super Mario world and it seems when the game saves using the in-game saving feature it doesn't do anything.
Does the emulator not create a save file using the in-game saving method? Is there a way to turn that on so it will save the game like a real cartridge or do I have to rely on remembering to create a save state every time I'm done playing?