i've wondered the same thing .. seems as if something i read implied they were automatically saved, but i've looked too and can't find them .. i've created a sub-drectory called saved_matches in my gnu folder where i use the save button to store SGF files .. you can also set the default location for saved games to avoid having to find the directory each session

i'm just beginning to use the comment feature to add comments and hopefully share annotation with others for  selected games .. saving SGF files makes annotation not simply a waste of time