I am playing on medium.

The levels are long and I have difficulty finishing a level in one play session.

Furthermore there are respawns but I tend to waste them in the begining and don't have enough for the final level boss encounter.

This game is tougher than I thought at first.

It's still fun, but I now face the task of repeating a long level that I almost finished and died at the boss fight.

I will not switch to 'easy' since that hurt my fun factor.
so I will just persist and replay :)

still wish I could 'save' though.

Have you been upgrading the weapons? It's quite important to do that as if makes them much more effective. Also, the umlimited-ammo pistol can be surprisingly effective in a lot of situations, which frees you up to use more powerful weapons for the tougher bits. Definitely upgrade the pistol all the way. The secondary fire of the machinegun is also very good because you can use it to stun an enemy and then switch to your pistol to finish him off without using up ammo.

Those were probably the upgrades I used the most, but other weapons can be very effective in certain situations.

Those are good tips.
Yes, I have been constantly upgrading the weapons.
I upgraded the pistol all the way, and I also use the stun/pistol trick with slow enemies.

Replaying some levels over and over I am finding out what works and how to use the weapons effectively.

Situations that I still find difficult are ambushes with a large number of fast enemies ( like the top of the Radar station for example). The shotgun is too slow, and the machine-gun takes too long to kill individual enemies as well as wasting too much ammo.

anyway I am enjoying, though I am frustrated with the save mechanism of the game ( more on that in my next post )

The upgrade to the minigun that lets you set it up like a turret can be good for ambush-type situations.

And yes, the saving system is annoying... but after a while it didn't bother me as much as I thought it would. It's worth playing through the game anyway as it's surprisingly good.