You could use System -> load / save game.
So, let's say at the beginning of each level (or even a checkpoint), you do.. System -> Save("auto")
Then player quits and comes back later.. main menu has a button "CONTINUE". On clicked, System -> Load("auto"). This will start the player exactly where they left off.
This is by far the easiest method but depends on your game. Using this method, you'll have to use the "no save" behaviour for objects that don't need to be saved, like scenery etc.