I just got this working for final fantasy VII. You save the state as close as possible to the disc change (for me just before ester takes me up on the elevator) and then you do the following.
1) Copy the save game and image to the disc 2 folder (i did this in windows after hooking up the USB and mounting the drive, but I'm sure you can do this on the phone using astro file manager or whatever program you want).
2) Rename the files to match the name of the disc, which means you probably just have to change the disc name.
3) Start psx4droid on the new disc. You'll see your save game, load and enjoy.
As I said it worked for me in this case, hopefully it will for other games!