When the installer window is showing the installation progress, you can expand the details about what it's doing. Click on the "Installing ..." bar (avoiding the cancel 'x' button, of course).
Once you expand the details, what step is it still working on?
Also, CrossOver detects when an installer has completed by waiting until every program that installer has launched has exited. If the installer launches the game, and you play it, then CrossOver will be waiting that whole time. You should exit the installer/game once it's installed. After you exit cleanly, CrossOver should create an item in CrossOver's Programs menu for launching Guild Wars. (I assume the lack of such an item is what you mean by "it wont save to crossover".)
I suspect you have been canceling the installation because you didn't realize it was waiting the program to exit. Once you do that, it won't create the item in the Programs menu, of course.