To save changes to pricing or transaction data in your investments use the Save All Investments command from the top level File menu. You can also select the button from the toolbar. To save an individual investment to a new filename use the Save Investment As... command.
Saving investments is independent from saving portfolios. When you save investments you are saving any pricing/transaction data to the investment's *.dat files. When you save a portfolio, all your portfolio properties are saved to the portfolio's *.mm4 file.
To have your investments automatically saved each time you quit, see the Save Investments on Exit command under the top level Options menu.
Investment Properties Dialog
Set Data Location Dialog