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Okay, sadly Kega's .srm file wasn't recognized by my MegaSD.  This is as far as my knowledge goes, but the discord forum is pretty helpful.  I'm sure they can give you an easy fix.  Here is the link: 

https://discord.com/channels/525743232886505504/590246931234553868

Update: GunSlugs still loads perfectly on the MegaSD, but the "Tours" and "score" reset to zero after death.  (still no .srm file being created)