Originally Posted by Konstantin Fomenko
[T]he game does auto-save on log-out. Actually it auto-saves with every action you do like - move a unit, or create an army. But sometimes - interruption in your internet connection, or overload of bandwidth can [interrupt that regular auto-saving process ...]
Also I would recommend logging out to main menu and logging back in once in a while, to make sure your connection hasn't interrupted and progress is still saving.
As a new player, I find this recommendation (highlighted in green) very useful.
I recently lost at least one hour of game-play achievement because my connection to the server had been interrupted without my awareness of the situation. Following the recommendation does represent cautious insurance.