Maybe try the following first. Re-format the SD card completely (just in case some files got corrupted), re-load all the roms, and re-flash menu 0.4 to the cart. Then, try running a rom again (one that you knew saved properly before).
After you save your progress in-game, check that the 'mk2_save' file is present on the SD card (this is the saved game for the most recent rom that has been played). When it asks you to back-up the save, verify that the .sav file is showing up properly on the SD card (it sounds like it is).
Load the save game file as before when you got it working, and let us know if you are still having the same problems with the hardware.
Also, it wouldn't hurt to check ALL the contacts on the mk3/SD slots and clean them as well (you can use a q-tip and a small amount of isopropyl alcohol)
You would have to contact the people you purchased it from regarding a replacement.
BruceG