I back up my saves with a DS and an R4 cart. There is a program that will download and upload saves to and from a gba cart.
The mega memory carts that you referred to are not compatible with the GBA SP; they work only on the original Gameboy and color. Your only available option for saving games would be with a Gameshark. The GBA SP Gameshark has a PC application allowing you to save games to a computer ... connection is made by USB. There are two different versions of the Gameshark for use with the Gamebay Advance, not sure if the GBA Gameshark is compatible with the SP model. Your best bet would be to get a Gameshark made for the GBA SP.... one that includes the installation disc for the application required to copy files over to your PC. These are available on eBay, but are rather pricey. The cart, cable and software are available separately... some auctions have a complete package. The software is available for download here. Incase you cannot afford the complete package. ------------- Another option, and this would be cheaper ... it was what brainpann was alluding too. Buying a flash cart. This would allow you to use ROMS and save your games on an SD card. Check this out: Supercard Mini SD
Yeah, I just checked on my DS. Its called GBA Back Up Tool. Its pretty handy too. I used it to transfer a save from a Mother 3 save on my EZFlash 4 to an actual Mother 3 cart. It worked perfectly. No, not really. GBA Back UP Tool is a program for DS that you use on an R4 or similar card. It uses the GBA slot in the DS to read and write to and from the save data on the GBA cart.