Is there a way to transfer progress from the demo to the full game?

I tried the demo and finished the first episode. I liked it enough to buy the full game but I'd like to continue on to the next episode right away. I suspect there are no regular save files but is there a file that tells the game to unlock the next episode?

I understand you can unlock the episodes in the options section, but will I miss anything by doing that? Is there anything from one episode that you've done that carries over to the others?