Saves aren't that important...especially in a roto league. Of course, you don't want to finish last in saves either. Your roster is strong enough that you should do well in other categories but you should still address all categories (this means addressing saves too). Your problem is you have both Lidge and Madson. Only one of them can close since they are on the same team. You need to find a closer in the FA pool. Not all of the closers were taken in your draft...never are...this is because some closer positions still aren't set and others have changed due to injuries. Do a Google search for "projected MLB closers 2010" or read the "closing thoughts" fantasy baseball section on Yahoo! Fantasy Sports.
Cross reference any list you find with the available FAs in your league. I can tell you right now...most leagues still have Dotel available in Pittsburgh and he is projected to be their closer.