I never managed to get the save states working in PCSX-R in Wine, so I used ePSXe in Wine instead. I ran into an unfortunate glitch in FFIX doing so that forced me to make a saved game, play through that section in in PCSX-R without using saved state, save, and then bring it back to ePSXe to play the rest, but aside from that one incident it works great. Make sure you have the latest OSX graphics updates, as it really improves the speed and compatibility of the OGL enhancements to the games.