First of all you can't save to the HD... You can however store games saves on the Hardrive, you can use codebreaker v9.0 to transfer saves . This is helpful if you want to backup all your saves, I would highly recommend this. Or pick up a 16 MB MC just for your backed up saves. My GF accidently overwrote one of my treasured saves and I used my backup
I play my SNES Emulator and NES Emulator on my ps2 all the time... I don't know how many times I've beaten Super Mario World on my PS2.

I even have a old school Nintendo controller if I wanna be completely in the zone.
You can't get the SNES Emulator disc to boot with the HD Loader. However since you have a crystal chip you will have no problem booting this disc. Here's a link to a guide for getting the SNES Emulator working...
http://snes-station.gamebase.ca/files/snes_cd_020.pdf
However....you could have found this by searching this forum. You won't be spoonfed forever.