When I use chroma key while editing everything is fine but when I save the entire movie the chroma key cancels and the background is still there. Am I saving it as a wrong file or am I doing somethin else wrong?
You haven't provided much detail. But given that all seems OK when previewing try changing the display mode in Program Settings, e.g. between HW Accel and Overlay.
(I'm assuming that you are placing the respective objects correctly.)