The game will save automatically at the end of each level and each time you return to the main menu (click on the red Besiege logo in the top right-hand corner, scroll down and select 'Exit to menu'). 

If you want to save your machine to use it later, click on the floppy disk icon in the top left corner, click on 'New save' and give it a name. You will then be able to load this machine in all future levels.