Assuming the field you want to check is named Field1, add a hidden Calculated for Display item named OldField1 with the formula:
@If(@IsDocBeingLoaded; Field1; OldField1)
This has to be placed above the Field1 field on the form. In the formula for Field1, put in:
@If( @IsDocBeingSaved; @If( Field1 <> OldField1; <Saving and it HAS changed>; <Saving but it has NOT changed> ); <Not saving yet!> )