Just a reiteration of what Psychic Politoed said. Basically you're asking if you can save at a point and redo things in case you get beaten in the following matches, like how you save before catching legendaries in the GBA games.
Technically you can't do this, because when you save in the Colosseum Battle Mode, you're forced to quit the game. And once you resume from your save point, your save point will be erased.
Your life saver will be the continuations you've earned through the easy matches at the beginning, which is earned everytime you beat an opponent without any of your pokemons fainting. This allows to redo the challenge at the point where you're beaten, until all continuations are used up of course.
So, in short, don't attempt to save, get beaten and restart the game. You will lose your save point and must start from battle 1 again. Always save before you quit, and only rely on the 'continuations' to redo the battles.
Coronis~