(following the comments above...)
Yes, pretty much along those lines. I was asking questions to try to get you to see that you do actually have variables/data which you'd save. =b
If you want to save in the middle of the level, it is up to you... I don't know how you've designed your game, but basically you can write the saving code to trigger whenever you want based on any conditions you want.
For saving in the middle of levels, since you are handling the saving and loading you could try having a value like level "7.5" or whatever notation you want to indicate a level that is partway done. Or just use whole numbers like 750 and treat it as a percentage (level 7 at 50% done). And so forth. It's up to you.
A very similar question has been asked how to save a current frame value using a SharedObject. In your case, replace 'current frame' with whatever values you want to save:
Actionscript 3 saving currentframe location to local hard drive?