Hi, I just lost a save. I had accidentally clicked on "New Game", and as there is no way to exit back to the main menu from the character creation screen, I had to Alt-F4. When I booted up the game again, there was no option to continue a save.

Hey, heartdart. I'm afraid that's the way it works right now, there is only one save slot available. The next update v0.3.1, which should be available tomorrow, will add support for multiple saves.