today I found a topic in the lion king forum that say to use this
http://ykhwong.x-y.net/
instead of the dosbox from gog.
with that version you can create a save state like in emulator with
alt-f5 save
alt-f9 load
alt-f6 previous save slot
alt-f7 next save slot
to get good performance you need to remember to set disney in the config file to true under audio (to get even better performance you can use the gog config file as an example (dosbox_aladdin.conf).
to start the game inside the wrapper you can use this method (I this is the best method):
https://www.dosbox.com/wiki/DOSBoxShortcuts if you are on mac or linux just type ./dosbox /game/Aladdin.exe inside of a terminal while you are inside dosbox ykhwong folder. if you are on mac use version 20140125_i386, it is the only version that work out of the box.
If I will have time I will post my config file here for DOSBox SVN Daum so that you (and anyone interested) will be able to just copy and paste.
EDIT. Like I promise here my conf file:
https://mega.nz/#!yh9kAbCC!Su9YxTH4YOTueiHORHQfjDLdl-rOGNHW7DcvX4EXe2U I think there is no better conf file out there for this game (most of this conf file is the same as the gog version, but there are some difference because it use DOSBox SVN Daum).
with this conf file and with DOSBox SVN Daum you will be able to play and save/load the game any time.
(on windows you find this file on {system drive}:\Users\{username}\AppData\Local\DOSBox\dosbox-{version}.conf and you need to rename it dosbox-SVN-Daum.conf
you find the save files in the same location)