Some tricks to prolong battery life:
With the Sega Saturn, just back-up your current saves on your 4in1 PAR or memory cart. Then remove the battery. If you keep your system plugged in all the time, it doesn't die as fast.
With the VMU, just don't leave them plugged into the controllers all the time. When the console is off and the VMU is plugged into the controller, the batteries always die withing a month.
Everything else you just replace the batteries of course since there is no way around it. Keeping your consoles plugged in all the time does help the battery life.