Yeah, you can buy or rent places to sleep or you can set camp in the wilderness; all of these options are how you save the game.
Also, when I've set camp, I never noticed an ammo refill. Maybe it does. I can tell you that ammo isn't so hard to come by. At first it is, but if you sell plenty of animal skins and loot dead bodies then you aren't going to be running out of ammo. You may run out of ammo for a particular gun but you will probably never run out of ammo for every weapon type.
I haven't check if you can stop holding A on the horse… I didn't seem like such a big deal to me because the horse system actually makes sense.
And, I don't think there is anyway to turn off the gold X. But, really, they're so small that you can just try ignore them.
I've had a play around now and you don't actually get free ammo or a horse when you camp, but you do in safe houses. There's a chest at your hut at Bonnies ranch that fills all your guns (so I assume this will be the case for all your safe houses), which I'm sorry but I find completely stupid considering they are for sale at stores. Why would you buy them if you get a free top up whenever you want?
The same with the horse. I accidentally shot mine while hunting. I walk back to the ranch on foot, go to bed, and whatdayaknow… there's a brand new horsie for me right there. Which is stupid again because why would I buy or steal one when I can get a free one any time I want? I'd prefer the game didn't hand me things like that on a platter. If I lose my horse or get it killed, I should have to deal with the consequences. If I run out of ammo, I should have to find or buy more. I shoudn't have magic house that just gives me everything I need.
You do have to hold down the A button to maintain your speed while riding, which I find odd because you can't look around, and you can't aim while maintaining your speed (unless you have two thumbs). Why not make it a toggle? Why not give options?
And is it necessary to advance time to save? Can't I just save it and not have to advance time?
I realise now the gold X's are important because that's how you interract with people, so you need them. I don't personally like that feature. It's one of the things I didn't like about GTA 4. You get a mission, drive to a waypoint, stop on the golden circle in front of a building to initiate cutscene. I'd much rather walk up to a person to trigger either a dialog or a cutscene (which it does sometimes). But I guess that's just how this game handles it. I have to keep telling myself this isn't a role playing game.
But despite that it's an amazing game. I've just been experiencing the joys of being out in the wilderness, just me and my horse, taking in the scenery… it's just beautiful.
Anyway, thanks for your reply.