By ‘save themselves’ I mean each BP will save what it needs to the Save Game, when it needs to, and load again ( probably on begin play ). So you don’t have to try and orchestrate it in one massive nightmare on acid script 
How exactly you do that, is really up to you.
I made a whole game where each actor ( that needed info ) only needed some vectors, float, bools, that kind of thing. Once save game, which just had a lot of stuff in it.
You might want to write your own actor component which you can add to anything that needs to know how to use the SG, and what to save. You might also make a parent class that knows how to save, and all the actors that need that, inherit from it.
It’s really a ‘how long is a piece of string’ type question