This is rather simple in both creating an explaining so ill make it simple.
http://img503.imageshack.us/img503/118/menuft3.png
The menu is at the top of the game. You can now edit the default skin so that when you go up to that menu bar of your game it can say anything or do anything you wish it to. You could even remove it from your game.

In skin you double click the area where I put a red circle to create a new menu an you double click one of the little grey areas to add a new button. It works just like buttons.

Meaning it works on command so .quit would close the game so you could make a drop down menu that was called Game Options then under that have a button called Save and Exit an it would allow you to run a saveexit command that would save an exit based on your coding.

mob
verb
saveexit()
save()
del src

It still falls under the normal an orignal coding that byond has used in the past just gives you the option to move the verbs where ever you like now.