I figured when you quit and turn the game off you would be able to pick up at the last lantern you were at or just resume your game, but it made me start a whole new one? im hoping i just saved improperly but like its a ps1 game, did they have memory cards?

Also is switching from like cane to whip a thing this time around? or switching between extended or retracted in the blade saw?

you cant alt f4 the game you will lose all progress you have to go to system then exit game and then main menu exit game. For switching the weapon type you need one insight to open the door and then at the upgrade table you unlock it there. 

You need to save at a lantern or the doll before you quit. There are no auto-saves.

You can unlock weapon transformations once you have 1 insight and can access the workshop in the Hunter's Dream.