Theres several autosaves and they will always keep getting over written as you play (unless you turn it off) but the main saves you make yourself won't be over written unless its by you.
when you go to make you first proper save by selecting save in the menu scroll up and down the saves already on there until you see the option to make a new save, then just keep using that save for that character.
If you have a usb stick you can also copy your saves on to it to keep a back up.
I agree with what everyone is saying if you start a new character always be careful of your saves or you could accidently override a save you want. Now for ps3 user if you have a PSplus membership you can always reload a previous save back if you override a save by accident. I know as I had to do this myself. using a usb stick as a backup is a good idea.