Help with memory stick pro duo!?

Ok, so I've started a new game for my psp but did not know that i needed the memory stick to save. I have since then, ordered an 8gb memory stick for my psp. When I receive the psp memory stick; will I be able to save the game I am currently playing once I reach a checkpoint within the game? Example:You start a God of War game without the memory stick, later in the game it asks you to save your progress. Then seeing you need the memory stick you put the game on sleep mode- rush to the store, buy a memory stick, and then come back home. When taking the game off of sleep, the game again prompts you for the memory stick----AT THIS TIME CAN YOU INSERT THE BRAND NEW MEMORY STICK INTO THE SYSTEM AND SAVE THE PROGRESS??