I only did this once, but I was having this dream that was pretty cool and I was talking to my friend about what we should do next when I all of a sudden woke up.

I was pissed because the dream was good, so I closed my eyes and thought to myself as I was falling back asleep, "Oh yeah, I saved my game!!"

The darkness from having my eyes shut turned into a final fantasy style loading screen. Then I loaded my dream at the point right before I talked to my friend. I was standing at a save crystal and he was 10 feet away waiting for me to say hello.