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I wouldn't bother trying to stop players from cheating to win. If they want to cheat, that's fine with me. But I want to make sure they realize that reloading in my game is cheating.
On the other hand most player will only save a lot if they expect to die a lot. In half life I barley ever saved unless I just wanted to take a break. In the dozens of other FPS's where the designers think its funny to have twenty enemies spawn 10 feet behind my back or have traps I couldn't have possibly spotted ahead of time I do save every ten second.
Saving is a good way to balance a game since it gives the player power but most player will only use that power if they need it.
That's really being nitpicky, labeling saving as a cheat. Maybe you should play GTA III or wizardry 8 without saves, since it's "cheating"?
My current design has a simple option in the difficulty menu; Perma-death on/off. Turning it on means the save is deleted automatically, and you lose out if you have a TPK. It is not labeled as a cheat, but as a means to increase the difficulty.
I like a challenge too. My version of a challenge is probably more extreme than most. I've designed the game-play mechanics around that; a variable challenge. You can adjust the relative strength of the enemies you face, alter character skill development speeds, and a myriad of other options; including perma-death and no ressurect/limited ressurect.
Good design should mean that the save is really there to ensure that when the power goes out, you don't lose your game. Or if the wife/gf comes in wearing a skimpy nighty, and y'all knock the computer over and unplug it; you're still safe. Or if little Timmy blows his hand off when he held a firecracker until it exploded, you can shut down quickly and leave.
Having designated save points is bad design, by my standards. A bad design attempting to cover for other bad design. Conversely, if saving and loading at will ruins the challenge for the players, then the designer failed. The game should present a challenge so long as the player doesn't use real cheats, such as infinite ammo or God mode; or hack the save files.
For the record, I'm probably going to leave the dev-mode open for the players to mess with; and maybe even include a character-editor (assuming I ever get my game finished) I rather leave it in the player's hands to determine how hard they want the game to be, and simply provide them with hopefully an enjoyable way to get that challenge.