You should already have the achievements for getting S or S+ by now, so the only reason you'd want to do this is for the weapon unlocks.
You can only save three times throughout the game, and you can't use Infinite weapons (you can use the Infinite Combat Knife but that's the only exception!) or your Rank will be lowered to a regular S. S+ Rank is awarded for playing through the game within a set time limit (2 and a half hours for the main campaigns, 2 hours for the 2nd Runs). You'll find around 20 of them (most are found next to or nearby the Typewriters), so don't worry about saving your game unless you're trying to get S+ Rank. You can't save your game without an Ink Ribbon (this is an old school Resident Evil feature), an item you can find ONLY in this mode that allows you to use the Typewriters.
You die, you're going back to last manual save.
There are no autosaves anywhere in this mode.
