It depends on the league format. In a head to head league, it might make sense to just forget about saves all together in the draft and stock up on other draft categories, conceding the steals category altogether. Since there are 9 other categories to win, and you only really need to finish with an above .500 record to make the playoffs for most h2h leagues, there's nothing wrong with conceding saves or steals.
In a roto league, however, you need a balanced team. In a 12 team 5x5 league, you generally need to have around 100 points, or an average third place finish across the categories. In this type of league, if you concede steals or saves, and take just one point in that category, you now have to average a second place finish or 11 points in every other category. That just gives you too little room for error and one injury or bad year from one of your players can kill your chances. You don't have to have so many closers that you win the saves category outright, but in a roto league, you want to finish at least in the middle of the pack in saves. If you take one elite closer in the first five rounds, and then 2-3 cheap closers late in the draft, that should do it for you.