A: 

I figured it out. Cake saveAll function works only for directly associated models. Luckily Cake is able to take care of this:

view

echo $form->input('Tags.Tags', array('multiple' => 'multiple', 'options' => $tags));

controller

$this->Experience->saveAll($data, $parameters);
$this->Experience->ExperiencesUser->save($data);

Cake after calling saveAll() fills $this->data with last inserted id. So second call save() will save data to the right table and set properly foreign keys.

picca