DeSmuME cannot save individual microgames as separate files. It saves the entire NDS ROM/SAV state (battery backup), which includes your D.I.Y. progress, created microgames, and unlocked content.
Treat the DeSmuME .sav as your master project file. Back it up often. For distribution, move to real hardware or a 3DS with CFW (TWiLight Menu++) to use the official export feature.