Hello magic stick,
It is actually very simple to create multiple savegames per game. First, enter your PJ64, start your game and follow these instructions when you want to create a save:
1. enter the 'System' menu-->Save As...
2. enter a name for the save.
3. Click 'save' and you're done

.
You can load your save later by entering 'System-->Load...' and choosing it.
Savegame files are of the type 'pj.zip' and are located at the 'Save' folder, under the PJ64's main directory.