Well not to worry as Konami has announced the 'Transfarring' system and Peace Walker is the first confirmed PSP title to support game saves migrating.
At Konami's pre-E3 event they pulled the sheet of this service for PlayStation. Essentially it lets you transfer your game saves from PSP to PS3, and vice versa, with full compatibility providing the title supports this Transfarring system. Sony's NGP works with it.
Metal Gear Solid: Peace Walker has been named the poster child for the Konami service but its future remains unclear - will non-Konami titles support this project?
"Up until now, gamers' lives were divided into playing at home on a console, or on a handheld when out. These styles were completely separated," said Hideo Kojima.
"Now with Transfarring you'll be able to take the exact game you played on a console and put it on a handheld to continue playing on the go. Then when you get home you transfer the game back to your home console." Do you even own and play on PSP?