In order to harvest/save every little sister in the game you fist must spot a big daddy walking around with a little sister (It helps to have the sound on). Then you must kill the big daddy. After he is dead the little sister will be standing over the corpse of the big daddy. upon walking up to the weeping little sister you will be presented with an choice to Adopt/Harvest. If you adopt you have the opportunity to do two gathers (which give you more Adam). At anytime you can bring your adopted little sister to a little sister vent to be presented with the choice save/harvest. To help keep track there are pictures at the bottom of the pause menu. There are pictures of big daddies if the little sister have not been dealt with yet and the picture changes to a little sister after they have been dealt with.
There are 12 little sisters in the game to be saved/harvested:
Atlantic Express: 0
Ryan Amusements: 1 (story related)
Pauper's Drop: 2
Siren Alley: 3
Dionysus Park: 3
Fontaine Futuristics: 3
P.S. (you need to save them all for the "Savior" achievement)