I would rather a 'Save Settings' single save, that saves EVERYTHING, the VFS, the options, all of it to file. it gets a little annoying when u save options close HFS and realise you forgot to save your updated VFS aswell >_<.
I say the best idea is to have a toolbar 'Quick Save' icon, AND options inside the menu where in here you can specify if you want to save to file or to registry, auto-save on exit that sorta thing. Save to file has always been my favourite save.