I have been playing Skyrim for roughly 240 hours and I am finally fed up with the slow loading and saving times! Now I know saving on the hard drive makes the game run much better ( tested it out with a new character) so is there a way to transfer my saved file for one character over to the hard drive? Thanks for any responses!

The guide is for Oblivion but it should work similarly:

http://www.uesp.net/wiki/Oblivion:Xbox_360#Transferring_Game_Saves