It isn't limited to FF8. It happens on all games. There's a moderate chance the emulator will not save your game in it's native format (as in, saving to your virtual memory card), and while the devs have said to "addressed" this issue (it really made no difference to me between v2.0 and v2.1 in this regard), truth is that the probabilities of it NOT saving are still pretty much high.
My only recommendation is, apart from repeatedly saving at a save point, is to savestate. Alot. Savestate often, because FF8 has a tendency for hanging on black screens or spitting code dumps.
As a matter of fact, I'd like to talk about a few things about how to play this game on this emulator. Not a walkthrough, mind you, but more like a fair warning about blackscreens and code dumps to come. Since I don't like to type the same words over and over, SaveStates will now be known as "SS", black screens (hangs) "BS" and Code Dumps "CD". Also, the universal Golden Rule for every instance that BSs or CDs:
"Savestate before this instance (BS or CD) occurs, switch CPU to Interpreter, Load SS, allow for this instance to occur, savestate again, switch CPU to Dynarec, Load SS, ???, Profit!"
Without any more hindrance, here are a few general tips:
+ There's a slight chance for BS in almost every random battle in the game. If you're gonna be out there drawing spells like crazy or if you're just leveling up (which I strongly recommend against considering easier alternatives), save ingame and SS every few battles. Then, if you find yourself in a battle that BSs on you, it's all a matter of loading your SS, and do either of the following:
a) Go into a town, cave, dungeon (or if inside one, go to a different area or exit the location entirely)
b) Follow the Golden Rule
Be warned that there are certain areas in the game where ANY random battle will provoke a BS. I won't be listing those areas today (some other time in the near future perhaps), but once you discover these, try to look for alternative routes, or pray no random battles occur while going through these, OR provoke a random battle in a known "safer" location.
+ There are several boss battles in the game that will ALWAYS hang in a BS. I don't remember which ones were they, but still it's best to SS before every boss battle. Then, if it so happens to BS, you can follow the Golden Rule only until the part where the screen transition ends and the battle scenario appears on screen (I personally hate these screen transitions, but there's no easy way to remove them... oh well).
+ Most FMVs (not all) will spit out CD when the emulator attempts to play them. As a matter of fact, practically ALL CD in this game are caused by the emulator trying to load an FMV. It's really hard to tell when and where the game will play an FMV if you have never played the game before. Sometimes they can be predicted if you're paying attention to the story. Other times... they'll appear just to make things unnecessarily more dramatic (like the Balamb Garden intro, or the assault on Dollet). But still it's wise to SS often just in case. The only problem with FMVs is the emulator struggling to start playing them, not actually playing them. So (as far as my experience has led me to believe) it's safe to SS before an FMV, following the Golden Rule. Once the movie has started, you can SS and reload with Dynarec, and it'll be playing the movie at full speed.
+ There are several songs in the game that will have a note annoyingly stick and just plain ruin your sound experience (most notably, the song played at the Timber Owls train, and the song played in Deling City [if I'm not mistaken... I think that's the name of the city where Galbadia Hotel is at]). I think the Boss Battle theme also has a note sticking, but it's hardly noticeable and comparing it to the previous examples, it's less annoying.
There's no real way to avoid this. It might be solved by using the Golden Rule, but it might just make even more notes stick. And if it does work, you'll have clear sound only until that note is played again. My advice is to bare with it, or just mute your sound.
+ Finally, and if none of the previous issues makes you run away in horror, there's a small issue with the emulator when trying to load the next disc in the game. If you wait for the game to prompt you to change the disc, no matter how many times you try to load the next ISO, the game will simply refuse to recognize it.
The only way I got around this was to do the following (I used this to change from Disc One to Disc Two):
a) Load Disc One
b) Load my saved game from my virtual Memory Card
c) Immediately after my game was loaded succesfully, exit to emulator, change disc and pray it recognizes. If it fails, try and try again.
I know I went WAAAAY off topic, but I figured I'd give you a heads-up on this game before you come whining about why it doesn't work. I've covered in a basic way all of the issues the game has so you can still play it using my workarounds. I'll be giving a more detailed list one of these days (I've been meaning to write a full list of every incident in the game for several months now... I've been lazy).
Anyways, hope I helped.