Whenever you are playing Rage 2, you definitely want to save the game to make sure you don't lose any progress between your play sessions. Luckily for us, it's very easy to save in Rage 2. The game has an extensive autosave feature that saves pretty much any time you do anything at all. That includes picking up loot, killing enemies, or even fast travelling. Just look for the small disk icon in the lower bottom right of your screen to see when it autosaves.
If you don't completely trust autosaves, you can opt to manually save. To do this, head to the menu and select the "Save" tab. This allows you to create manual save files that can be used to save the game at a particular point in time, allowing you to keep playing (and autosaving) and use that save file as a backup or whatever you want. You can create as many save files as you want with the manual save system, so don't be afraid to use it.
Most people will be fine with only using the autosave feature though, since it tends to be very good in Rage 2.