MyGM, MyLeague not saving files?

[Coolguy1313]

I'm having a problem where I will create a MyGM or MyLeague and play a game or two, then log off and shut down the Xbox and when I come back to it the whole game is reset (have to recreate the player) and there's no save files. Do you have to be connected to the Internet to have saves? Because I don't have mine connected at all, thinking that might be the issue?