Your game of Candy Crush Saga will be saved automatically on the device you’re using to play.
However, it's important to know that if you change devices, get a second device to play on (like a tablet) or if you delete and reinstall the game, then the progress will be lost. You first need to save it somewhere outside the device, so you can access it on your new/second/reinstalled device.
We strongly suggest that you create a King account, or link your game to your Facebook profile to back up your progress. Better safe than sorry!