When playing RAGE, save your progress over as many filesaves as you can, and keep at least one filesave for each location you come across. I cycled around 6 filesaves but i had a habit of overwriting all to my current progress (as with playing other RPG styled games). This should be avoided as when the story ends, there is no way to return to the world. ‘Continue Campaign’ will bring you to your last saved file (which is probably someplace at the last mission) and once the closing cutscenes comes about, it will follow with credits.
It’s a great game, and is worth replaying anyway, but now I have to replay first just so I experience the side quests. I hope my collectibles from the first game are carried over.