My 4-in-1 Pro Action Replay is still working perfectly when it comes to saving games but the method in which you save a game to it is a bit annoying. You have to save in-game and all to make sure that it's still in the system's memory. Then, when you're done, you have to RESET your console (don't turn it off or you're screwed!), then go into the PAR's menu and transfer the save file from the system's memory onto the memory card. A bit annoying but, afterwards, you can just load the file up as usual.
Otherwise, I suggest just picking up an internal battery once a year for the Saturn. It's around a $1, $2 investment at Radio Shack annually but, honestly, it's fairly worth it. I just like having peace of mind just in case I accidentally screw up and hit the Power button by accident since the save will at least be on the internal battery so I won't be completely boned.