Penumbra Overture (Steam) Saving

[whooleeus]

Hi i want to know if there is any way to save in game. I know that there is auto save and i think the orange lantern are save points but everytime i close out and reopen the game all the progress i've done so far disappears so i have to keep playing a new game which gets really annoying . Also i bought the game along with the humble indie bundle.