Keep getting save files being stuck in the Brain Tumbler when you first meet Nien and have to zap your "demons". Reading the manual, saving is apparently automatic during loading screens, but after completing Milla's levitation training and existing out, I'm back at the Brain Tumbler again. This is about an hour's difference, especially when scrambling for arrowheads for the cobweb duster and what not.

I have the unofficial Psychonauts patch 1.05 and Xbox 360 controller patch installed by Voodooman. Perhaps they're the reason for this?

Should mention that trying to manually save leaves the field as "empty", no matter which of the 5 or 6 slots. No overwriting message is given either when saving on top of another, just the standard "Don't turn off the xbox".

Looking through the save file folder in Program Files, they date back to 2 days ago - none of my saves from today apparently actually saved. What the shit.

Were you previously running in compatibility mode, prior to updating to the 1.05 patch? If you're now no longer (are suddenly are) running in this mode, your save files will have moved.

Try running as administrator, that should make sure they get saved correctly.

You can setup the shortcut to prompt you. If you right click on the shortcut in the start menu, select "Properties", then click on the Compatibility tab in the dialog that opens. There you should see an option "Run this program as administrator". This won't stop the prompt appearing, but it will not let you run it without.