A family of Microsoft spreadsheet software with tools for analyzing, charting, and communicating data.
Hello,
Thank you for choosing Microsoft Community,
As of now this feature is currently unavailable in Excel to automatically save all the embedded files at once, you will have to do it manually which you are already aware of doing.
In case you need to know if this can be accomplished using VBA then post in below forums.
http://answers.microsoft.com/en-us/office/forum/customize
Thank you.