Yeah, I do this all the time. The host machine must have the saved game on it, although it is not required that it save it in the first place (anyone can do that, then you can copy it onto the host later). Personally, if I'm hosting a game I save every 10 turns for the first 100, and every 5 after that. Crashes can be a b*tch.
To reload, when the host machine hosts, one of the options on the left (map maybe?) has a drop down that you can select "load saved game" from, after which all the defaults for the game in question are set, the correct factions applied, etc. I don't know if you can change the x boxes below at this point, but I believe so.
BEWARE, people can switch factions when loading a game. Make sure every faction has the correct faction before starting the game, unless you want to switch around on purpose.
Incidentally, I'm about to test the game using DSL through a firewall tonight. I may start some DSL connected games with folks around here if they are interested and available if it actually works.
