I've been experimenting with a Baratheon deck involving lots of Renown and Maester Lomys, but I'm a bit unsure about how the timing works.

Can "Cannot be killed" be used as a save? so for example, could I use this effect AFTER a valar has been revealed? or would i have to do it beforehand (i.e. guess that Valar was coming) - if so, would it be before or after the opponent chose his plot (if after, then it might be worth gambling, but never before, unless it's round 7, as that's bound to make him change his mind.)

Lomys ability is an Any Phase action, so by definition, it cannot be a 'save'.

"Cannot be killed" is not a save. It cannot interrupt the initiation and resolution of a killing effect. As dh implies, all "saves" are Responses, too.

If you want to use an effect like Maester Lomys to make your characters CBK to protect from a specific killing effect, then yes, you have to anticipate the killing effect. You cannot wait for your opponent to say "I'm using X to kill that character," then use Lomys to say "but it can't be killed." That is, indeed, basic timing of "Any Phase" effects. Your opponent will always have warning (well, almost; see below) that you have made your characters CBK before he chooses and reveals Valar.

But I think you are underestimating the usefulness of Lomys against plots and other kill effects you know are coming. Let's say you have incredible board position with all those Renown characters. You are afraid your opponent is about to throw Valar, so you use Lomys and discard all that power to make your characters CBK. Your opponent knows about it and decides not to throw Valar. So what happens? Well, for one thing, all of your characters are still alive because you faked your opponent into not even TRYING to kill them this plot phase. Hardly a wasted effort, particularly if you can close the deal with all that Renown this round. Also, wouldn't that give you the opportunity to throw your OWN Valar (or Wildfire) to get rid of a bunch of his characters? CBK will protect your characters from killing effects you control as well, you know.

But, if you really want the "lock him into a plot, then gamble that it's Valar with Lomys" situation, you can create it with Dragonstone Port, which creates the Player Action window you need (and is normally not there) between players choosing their plot and revealing it.