I'd actually love to do that too, but I need a 'pause' button in my games to be able to put them down and pick them up again. Sad thing is that Dark Souls already came up with a system which should be a golden standard in games like these ('exit' basically acts as a 'save and exit' button, and the created save then gets deleted when you resume playing) - when you even have hard saves in your game implemented, albeit hidden behind a weird mechanic, implementing it should be rather trivial. So... I've no idea why next to nobody does.
Save on exit will be in next patch, not sure how that one slipped out. It is obvious you need it :/