Hello, sorry for the late response. The game already puts saves into individual files. From what I can tell, Gamemaker doesn't have native support for opening files in explorer without a plug in. However, you can get your saves manually by going to (assuming you're on Windows):
[C:\Users\USERNAME\AppData\Local\A_Melody_of_Scales]
You can access Local from the start menu by typing in %localappdata% and pressing enter. AppData is a hidden folder so you may need to enable viewing hidden folders first.
For other OSs, try
Linux: [Home/.config/gamename]
MacOS: [~/Library/Application Support/<Game Name>]