Depends on whether there's a quick-save hotkey. I find that in Dragon Age, I quick-save after/before every battle. I quick-save a lot in nearly all BioWare games. Especially Baldur's Gate II. That game was brutal, yet highly enjoyable. Dragon's Age is actually less of a challenge than Baldur's Gate was, yet I am still challenged at times, especially in the early game, before my min-maxing could really take effect. (Especially when bad guys from like 3 rooms all group up on you. Dealing with that without AoE spells was pretty hard.) Then I just get in the habit of quick-saving, and continue for the rest of the game. Since quicksave overwrites your older saves, it's economical for your hard drive too.
I generally start once I find that autosave happened way back at the beginning of the cavern, and I need to go through 4 more fights to get where I was.
In RTS/FPS games? never.