Save files are kept elsewhere in your home directory, depending on the game.
It's safe to exclude ~/Library/Application Support/Steam/SteamApps/ from your backups since no user data is kept there, only the game installs. Because of this, it's not really possible (or a good idea) to trick Steam into putting the game data in /Applications/ instead. It does this because different games may have different directory structures-unfortunately, not all Mac games come in neatly-packaged app bundles. When you install a game, Steam places it in ~/Library/Application Support/Steam/SteamApps/ and creates an alias in ~/Applications/ which you can use to launch the game.
