Oh yeah, I do that too. I hate it when it doesn't give you an autosave option on exit.
*save*
*quit*
"Are you sure you want to quit? All unsaved progress will be lost."
*cancel*
*save*
*quit*
"Are you sure you want to quit? All unsaved progress will be lost."
...
I also hate it when there's no confirmation that a save has occurred. Dead Space on PC is this way. I go to the save point, select a slot, hit save, and the menu just closes without actually indicating that it saved, so then I always have to reopen the save list so I can verify that it's in there.