that's pretty much the best strategy there is. i always get the mental image of snagging saves.. like they're out there, they're bound to happen, and its just a matter of getting them.
typically, i make a read on the league to determine how many closers i start with. usually 2 or 3. then throughout the course of the year, there's always something like 5 closers who come out of nowhere (see juan acevedo in '02), so the key is to keep your ear to the ground, catch some baseball tonight, then figure out who's going to materialize... typically, the best strategy is to be able to have all of your starters going for that given day, then use the rest of the slots to catch as many saves as possible.
btw, inning limits are a godsend. last year on yahoo my friend's gf, coincidentally the league comissioner's GF, had a total juggernaught of an offense, but absolutely no pitching. so midway through, or early on, when he realized he was going to lose and i was going to catch his GF with my balanced team, he cut off the innings limit... oh the horror of watching this. she'd pick 6 joe schmoe starters each and every day, start themn.. invariably, she took the lead in wins and Ks by quite some margin, held on to her offensive juggernaught status, and then squeezed me out into second place within the last two weeks of the season. naturally, i threw a fit because it was cheap, the people told me to shut up, i told them to procreate themselves, and now they'll never play fantasy with me again.