This is one of the 2 major improvement for the version 4 firmware. Now this is available as a plugin. I had packed the file for you to copy all over to your root directory of your PSP memory stick main directory. However, there is a readme.txt you will probably not want to copy over. I simply had to include this because this is a major README that you MUSt read in order to operate the save state. If you have a text reader, feel free to copy it over to your PSP as well.
Here is the download :
Remember you need at least 4.01M33 to operate this plugin.