I tried it before but i didn't found it, there has to be option.
Either you use the command I gave you on previous posts (its command line by the way) or you can do this directly on VMware Player:
Note that you can
only take
one snapshot while a virtual machine is powered on, powered off or suspended. A snapshot preserves the virtual machine just as it was when you took the snapshot – the state of the data on all the virtual machine’s disks and whether the virtual machine was powered on, powered off or suspended.
When you close VMware Player, you have two options which are shutting down and suspending.
*Shutting down the virtual machine is like powering off your computer.
*Suspending actually creates a snapshot of your VM’s state at that point, which you can restart from it later on.
Basically what you are looking at it is the Suspending option. Yes its not the exact same as having a copy of snapshots like in VMware Workstation or VB...