Yes, you will want to "save as [new version]" as you work through a song project. Otherwise the program will open your project at the last saved state.
I like to save a new version at the end of each session, and sometimes more often if I am making a lot of changes.
The benefit of this is twofold.
One, you have the latest version saved.
Two, if you don't like something you have done, you can back up to a previous version, and try something different.