So what do you want exactly? Having the checkpoints like in mario (walking through them), want them to save periodically (every 5 minutes or so) or having "story based" checkpoints that safe after a given event?
Just save the current level variable and some data like life, ammo and so on... Dont save the crap you dont need. I would recommend to write your own save game functions/files its more stable then the engine save/load things..