I think the joiner can save his game just fine, but if he saves, quits and continues his game, he won't be in sync with the host, so he'd have to join a game the host loaded (or the host would have to join a game that the joiner is hosting... if you follow me).
You can keep going with your own saves, but if you want to play an entire campaign, you'll both need to be working with the same game on the system of whoever is hosting.
