This is only on PC version, but I think on PS3 you can do it also, "where your saved game location is on hard disk"
Basically on PC, go to START--- documents--- My games- Skyrim-- Saves.
And now here click and press rename... delete everything cept those numbers at end it looks something like this "Save 496 - Bolvar Skyrim 14.25.32.ess" Now you just delete " Save 496 -Bolvar Skyrim" and then just type what ever you like (for instance) something like this "My first save14.25.32.ess"