And you're right, the SRAM is powered by the battery. Battery dies = save games wiped.

3rd party memory cards like those in the Action Replay models don't let you save directly to them, just shuffle files between the internal memory and theirs. To save directly to a memory card you'd need to use one of the official Sega memory carts.

Buying one of the newer 4-in-1 Action Replays is a must. It'll let you play imports from any region along with those that require the RAM expansion, save game files for when the battery dies, and most of the newer ones let you do a disc swap to play CD-Rs.