^^I do the same thing. I have a separate save folder called "HOF" under the "Saves" directory. I don't use Mapfinder anymore, but that obviously keeps your start save.
I usually save the initial start as a "template" save -with the settings I want or that are required for the Challenge/Guantlet - that I can always go back to to regenerate saves from. Each new start I regenerate I save to a subfolder under HOF folder that is named for the Challenge or Gauntlet. I add "a,b,c,..." to the end of the file name, as I will usually regenerate several acceptable starts first before playing. While playing I will name the "interim" saves with the same letter (a,b,c..) as the save I started from to keep track of it.
Another good idea is to go to "Menu>Your Details" while in the "template" save, and change the first field "Leader Name" by appending the name/# of the Gauntlet or Challenge at the end before saving it. Each new game generated and saved while have a file naming convention of "your name game name". For example, "lymond GMaj 126"