Push the Player 1 Start button once you've made all your changes up to the Volume Adjust screen. You'll see a message on the screen "Setup OK". That means you've saved. Then shut the game off, turn off the dip switch, and then turn it back on and your new settings will have taken effect.
You can't save on the last screen - Input Test - because that will just test the Start button, but you can push Service to reverse back to the Volume Screen, then Save...