Generally with games that require disc changes, they ask you to save exactly before the disc has to be changed. Once you save, you can simply start disc 2 and load straight from there. For every game with multiple discs that I have played, this is the case, so I am not so sure why the games you mentioned don't have the option to save before hand. I am pretty sure Metal Gear Solid also asked you to save before you changed discs but I could be wrong. The ePSXe help file states that changing discs does not always work. So i'm afraid your only two options are the one Almo suggested, or just keep trying the change disc option the emulator has.