Prompt to save current game before opening one

Currently, when you start a new game, you're prompted to save the game
you're currently playing first (so that you don't lose data).  But
there's no such prompt when you open a game.  Some users might expect
the game to open in a new window and could lose data.  But there's also
simply no point in prompting before New Game if we don't for Open Game.

https://bugzilla.gnome.org/show_bug.cgi?id=705804