At any point before you charge up Vegnagun to join Leblanc, Nooj and Gippal, you can run back to a save sphere, and even return to the airship and go gallavanting around the world. It's kind of odd to go away on side-quests while the others are fighting for their lives, but nobody seems to mind
But once you reach that certain point, you can't save between battles any longer. Vegnagun's arms, body, head, bulwarks and 'driver' have to be fought without saving or healing in between times.