Overview
Save Game Location
Save Game Location
It seems that the game auto-saves at the end of every chapter and at the end which can be annoying as you have to play the game through from the beginning just to make different choices.
However it looks like you can manually revert to an older save by saving the files in the
UsersUSER NAMEAppDataLocalSoul GamblerLocal Storage
folder and replacing them when needed.
This seemed to work although you may have to turn off steam cloud saves.
Good luck!