You could use an NTFS alternate data stream. Very few people know about them, and it would take someone with a disk I/O monitor to realize what you're doing.
To make it harder for someone to notice the ADS in a disk monitor, you can put the ADS *on the folder itself* with the same name of a standard, red herring file in the folder.
Folder:Save1.dat <- this is the ADS
Folder/Save1.dat <- this is the red herring (just write a ton of random bytes to it to make it look encrypted)
The : and / will be hard to spot in the disk monitor and it may appear to the cheater that only one file is being accessed.
Here's the fun part: Copy/pasting something with an ADS attached to it *does not copy the ADS*. This means that if the player makes a backup of their save folder, then restores it later, the original ADS will either be unmodified or completely lost.
The most obvious downside is that people unaware of the ADS will not be able to make any kind of backup of it. If they try to copy the game to a new computer, their game will be lost.
It's not perfect, but it'll probably confuse the hell out of people for a while. Still, it only takes one person leaking the information about how it works for the technique to be ruined.