you've probably thought of this, but if you just hit any of your buttons on your arcade control panel when it asks what slot to save too, it should save. then when you want to load and it asks which slot to load from, just press the same button you pressed when you saved. it should work with one of the buttons on your arcade control panel, just try them all until you find one which works (note: save slots are not limited to 1-9 you can also use a-z... and probably some other 'keys', so i expect somewhere some button on your control panel will work)
otherwise, perhaps you can use a program like this:
http://www.emulation-evolved.net/?q=node/19(there are many alternatives to this program, google around)