I was wondering how you save on this game? I know it saves as you come out of a menu, finish an arcade section etc but when I was quitting the game completely a blade came up saying my progress will be lost if i dont save it, but i couldnt find any place to save.

anyone help?

Considering everything is already unlocked there isn't a need to save.  Your "progress" that would be rounds you've beaten during that particular game play mode.  If you are doing well enough to earn a record, but leave prematurely, that's the progress you would be losing.

Play until you've beaten Arcade, Time Attack, or lose in Survival- or don't.  There isn't anything you are really going to "lose."

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Five-Hole.com

To beat the Arcade Mode with all the players do I need to do this all in a oner or can I do it through a couple of days?

You can do it through as many sessions as possible.  Just don't "quit" until your currently selected character has won.  If you do, you'll have to start over with that character.

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Five-Hole.com