Hex saves every change you make automatically, so there is no need to hit "Save" just to preserve your work. Projects do, however, also have a simple but powerful version control engine built-in.
The Version History menu can be found in the Versions dropdown. It allows you to quickly see historical versions, including who created them and whether they're published or not. Most importantly, you can also view and revert to older versions.
While Hex saves every change you make, you can optionally create progress "checkpoints" by using the "Save as version..." feature.
Publishing a version of a Hex project is similar to Saving a version, except it also updates the currently-live version that Users will see. Read the Publishing page for more details.