I've only ever played one character at a time, and always just use the Quicksave method to save, then I load that the next time I play. I guess I need to know the method and syntax of saving multiple files, if I wanted to play more than one character.
Ack, you really don't want to rely on only one save, especially a Quicksave as both Quicksave and Autosave are prone to corruption. Personally, I turn off Autosave and never use Quicksave. I make all my saves manually by hitting the Esc button and choosing Save from the menu.
For multiple characters, it's easiest to keep them straight if you create different folders inside your My Documents\My Games\Fallout 3\Saves folder named for each of your characters (Bob, Carla, Petey, etc). When you finish playing for the day, move your saves into the folder named for whichever character you were playing. The next time you want to play, move the last save for your character back into your Saves folder.
You can keep all of your saves bunched up in the Saves folder without sorting them out but it takes a long time to scroll through several hundred saves to find the one you want to play and sometimes having that many saves can make the game a little laggy when saving/loading.