Besides making sure auto-save is on.. I also always create my documents in the file system before editing. I.e. right click folder and select "New Word Document". That creates and actual file to start editing from right from the start... And then paranoidingly I hit the save icon after each chunk of work I do, or every little stretch break I make...
In fact when it's something REALLY important like a multi-day/week/month project like a novel, I make a new copy of the file every morning before opening it to edit it for the day.