To be honest, it is best for you to save in the .PDN format until you need to make a final version. It does not have a save dialog, so it is not a problem. Also, it ensures losslessness, it is safer in case of a crash, it is generally faster when saving, and it can be deleted when you are done.
Then just "Save As..." into whatever other format you are using.
It may be slightly inconvenient when editing an image to create a copy that is a .PDN, but if you're saving it hundreds of times, it is definitely worth your while.