I realize this is an old thread, but I just ran into this issue myself on MAME v0.154. There's still no support in MAME for a quick-load/quick-save function that is suitable to map to a single button on a control panel. Since I build MAME from source, I went ahead and added support for this myself. This effectively adds 3 load buttons and 3 save buttons that map to slots 1, 2, and 3 (same as hitting F7 followed by 1, 2, or 3 to load or SHIFT-F7 followed by 1, 2, 3 to save). They are assigned to keys 1, 2, 3 and SHIFT-1, SHIFT-2, SHIFT-3 by default, but can be changed from the mame key mappings (TAB button menu).
I've attached a patch file with the changes. The patch file is based on v0.154 of mame. Thought this might be useful for others who have the ability to re-build MAME themselves. Even if you can't apply the patch directly, the changes are fairly easy to understand if you are familiar with C/C++.