When you start a new game its in the Last tab Mechanics. There is an option for Autosave frequency. I don't know if there is a way to change that during a game in progress.
Once the game starts, there is no way to change the autosave frequency, which defaults to "No Autosave." The menu is under the "Mechanics" tab in Game Setup. The options are every 1,2,3,5, and 10 turns.