Moneydance automatically saves transactions as you go along. There is a timer that kicks in if the program is inactive, it is measured in seconds.
There is no Save As function. There are problems with such a facility in Moneydance. Your Moneydance data is not in a single file so it would not just be a matter of saving what is currently open, the software would need to copy a complete folder structure and potentially many many files, including all attachments. Additionally as Moneydance has a syncing function it would also have to break this in any copy created.
If you need a copy it is necessary to use the Backup and Restore function which handles all the files, breaks the syncing relationship and creates the structure under a new folder name.