Hey meiji1, thanks for posting this.
Unfortunately due to the way I've designed the save slots (auto save) there isn't a way to choose a different slot. However you can make a copy of your savegame any time you like, if you do it manually.
If you're in windows your save games will be in:
c:\Users\meiji1\AppData\Local\The Real Texas\2002\
And will be called 'savegame1.dat' to 'savegame3.dat'. You can copy these files as much as you need, and then just copy them back into whichever slot you like.
Most of the game will remain open even after you've completed it, however certain segments lock you into different areas temporarily. There is one area that no longer remains open, hopefully this isn't a spoiler, that may be the area you are referring to.
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