Sort of an opinion question for my first playthrough. Since you can start a "new" game at any level you've made it to, you technically don't have to save, ever.

On the flipside, since you carry over weapons between levels on a continuous playthrough, saving and loading gives you an advantage, because you keep the weapons you've gotten on previous levels. Also, you can save after every battle, meaning that you don't have be that cautious about entering new areas.

Question in short:
Does saving frequently ruin the experience? Is the challenge scaled towards someone who has not carried over weapons from previous levels?

The levels are designed to keep your weapons from one to the next. I like to limit myself to one save at the beginning of each level myself. But yeah...there are many levels later on that would be nigh-on impossible to beat if you didn't still have your weapons from earlier levels :)

Really if you're just playing for fun, do whatever you feel like! :) ...If you wanna be a better pyro pilot, I'd suggest joining the Descent Rangers, and playing some multiplayer...that'll get you alot better REAL quick! ;) (Or at least really frustrated... ;) lol