Yeah you probably need to change the battery for game saves on the internal memory. The battery you is small it's the CR2032 battery. You can find them at most places, I picked one up at a local pharmacy for ~$2. This page might help you if you don't know how to do it already:
http://www.sega-saturn.us/beta/viewpage.php?page_id=27
Also this cartridge is great:
http://www.play-asia.com/paOS-13-71-k8-70-1b2.html
It's an all in one:
- Memory cart (for storing save backups)
- 1MB/4MB RAM cart (for game's that require it, a lot of later fighting games used it for more frames of animation, i.e. to look/play better)
- Action Replay (if you want to use game cheats)
- Allows playback of Saturn games from all regions
I've had mine with no problems for ~10 years now!
starcraft: "I and every PS3 fanboy alive are waiting for Versus more than FFXIII.
Me since the games were revealed, the fanboys since E3." 
Skeeuk: "playstation 3 is the ultimate in gaming acceleration"
