Okay a lot of people don't seem to know this. I used to be one of them.
It's well known until the patch comes out this game lags our and sometimes freezes while playing online. I, like others, used to think the only way to save your MP character was to quit the game session (it saves when you quit).
But there's an easier way.
Trade something with any other MP character (in RPG mode, don't know about PVP mode). It doesn't matter what (you can both give each other a boar tusk or something). When you click the hand shake to "accept the trade" it will save your MP character right then. It even says on the screen that it's saving your MP character.
So there you have it, when playing MP every so often trade with another player and you'll be saved. No need to fear the Lag Hang again.