What system are you playing it on? Did you create a virtual memory card in the memory card utility, under the game menu on the xmb, and assign LoD to save to it?
For the PS3, you assign the memory card by pressing the PS button on your controller and going to "assign slots" . PSPs don't need to be assigned, I'm not sure what a Vita does, since I don't own one yet.
Also if you did virtual memory cards fill up just like original ones do, so just create another one if it is full.