I'm not sure I understand your question entirely. Save & Exit is for leaving the editing of your story, when you're ready to stop working on the story, and returning you to your "My Stuff: Stories" page.
Are you using Classic editor, or Advanced Editor? In Classic Editor, if you are on a page, in Edit mode, the page should be saved automatically when you click on anything else. So, you could just click on Preview, or if you added a new link, you can follow the link to type that page, or whatever. It should automatically save the text of the page you were working on, and let you work on the next page. To follow the link to the next page, just click on the blue arrow beside the link, and it will save the current page, and take you to the new page.
If you leave a page by following links in the editor, you can find it again by clicking on Page List to see all the pages or you can use "Go Back" to backtrack and find the page again.
In the Advanced Editor, each new page is opened in its own editing window, and using Save & Close in that window will close the window and save the page text for you.
Hope that helps