How to auto-save in XE2?

Check the checkbox in Tools->Options->Environment Options->Autosave->Editor Files. It will save the files on compile/run.

(If you haven't already, I'd also check Tools->Options->Editor Options->Create backup files, and set the File backup limit to 10 or more. This enables a sort of version control using the .history folder for each project (which you can access using the History tab at the bottom of the Code Editor.)

CnPack seems to have such function since version 0.8.2

It is at CnPack - IDE enhancement Settings - Editor Enhancements - Tabset / Button - Auto Save All in my version 1.1.4.924 on the XE7:

In Delphi Rio

Tools>Options>IDE>Saving and Desktop

Andy's DDevExtensions has a "Compile Backup" option that automatically saves a copy of modified units to a .cbk file (e.g. Example.pas.cbk).