Like some say, you can save at the shrines (I have done that once in whole the game) and it automatically save after every collusus.

If you health is low just run away from the colussus to a place where he can't hit ya and you will see that your health goes up...your health also goes up when you are close to him but that is maybe not so wise =p;

I'm assuming you haven't beat any of the colossus because you get a save option after you beat one,

Health regains when you stop running and when you are standing still,

And sometimes you'll find a shrine close to a colossus battle you just have to look out for them

(It's a very different game eh?)

Just beat it for the first time because 1up is doing a special called "Back Log" where they discuss a game about 2 hours of play time at a time each week's podcast (1up FM formerly known as EGM Live). They have the normal podcast then discuss the game at the end. It started about a month ago and ended this week. Good stuff.

I think you can also pick it up by pressing R1, with or without a weapon in hand.