Parts are saved when project is saved, depending on what you are doing saving parts separately has some uses, for example if you tweak some parameters but did not want to keep them, then reloading the part (that you previously saved) will restore your part without undoing any other changes you since made to the project. I see saving parts as a way of allowing the autosave to take care of other project settings, whilst allowing parts to be saved separately if needed.
So in summary, if you are happy with how your project sounds save the parts, then you are free to tweak away, safe in the knowledge if you want to revert to the saved parts you can.
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