| In general our group doesn't use save points, but on occasion they will get a completely wild and outrageous idea that has no chance of succeeding (and they know it) but would be a complete blast to play, so they ask for a save game. What we effectively do is play out the idea as a "dream sequence"; but even if they succeed they wake back up at the save point.
Typically we do this when the party is facing such overwhelming odds that they know they should run, but want to see exactly how long they would last, or if they have some insane idea that would give them a one-in-a-million chance at defeating a vastly superior foe. I don't mind doing this, as it gives me a chance to open up fully against the party with no chance of any hard feelings, and it frequently gives the party a large amount of respect (or at least fear) for the foes in question.
As far as in-game narrative, we usually describe it as:
Overconfident PC: "A dragon? We eat dragons for dinner! So what if it is as big as my village, it is only one dragon! We have nothing to fear! FIREBALL!!!"
< cue shimmery transition to dream sequence as PC imagines how the battle would play out >
Dragon: "Mmm! Snacks!"
< Dragon demonstrates why 5th level characters shouldn't taunt great wyrm dragons >
< cue shimmery transition back to reality >
Overconfident PC: "On the other hand, why don't we rest in this cave for a little while, then return to face this dragon when we are accompanied by a suitable band of bards to record the epic combat. It shouldn't take us more than a decade or two to gather such a band of bards..." | 
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