This is why the game features an autosave function - look out for three pulsating dots in the top right of your screen!
During longer missions, the game will also keep tabs on your last checkpoint and respawn you there if things go south.
Please note that you can only benefit from checkpoints during your active game session. Quitting the game will allow you to continue from the last save - not the last checkpoint.
If you are not in the middle of a mission, you can also Save your progress manually from the pause menu - this time you should also see a Save successful message.
Do not hesitate to let us know if you have any other questions!