One major headache with Max is that it has no autosave feature. Another major headache with Max is that it's not always entirely stable. This is by no means a perfect workaround, but I found a script online that triggers the key shortcut for save (cmd+s) every two minutes, but only when the app is in focus (handy if you're switching between apps a lot).
Unzip and add it to your startup items, or open it each time you run Max.
Full credit goes to Paul at Axure for his original script, I just modified it so that instead of looking for Axure the script looks for Max.