You can only "hero save" during quests, and "world save" otherwise. The problem you're having is that the training at the guild is considered one long quest, so you're going to have to finish it in one play-through to be able to advance.
SWC
Sir Edmund:"Should you obey the lord who asks you to put a village of innocents to the torch? Is that chivalrous? Is it noble?" Me:"It's a great way to get promoted, I know that much."