Just choose to save the file. That's all you have to do. When you look at your load menu, there will be a little crystal on the file that says "completed". You don't have to do anything with it after that (indeed, you can't).
Presumably, when the last episode of the game comes out, it will auto-detect and read all of the various completed save files to populate the characters with stats and items as you left them in the previous episodes.
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