Lotus Notes does this by default. I successfully tested yhis behavior in Lotus Notes 6.5.6 and Lotus Notes Basic 8.0.2 FP2 clients. In between saves, I closed and re-opened Notes completely.
If this is not occuring normally, there may be a something that is resetting the FileDlgDirectory system environmental variable in your Notes.ini. I don’t know what that might be in your environment. Possibly your company has a Policy defined in the Domino environment that would reset this to some standard location? I’m not sure.
A nice way to save documents to a different location while you are working is to size the Notes window to take up the full screen, except for the last inch or two. In that space, you can have the folder open into which you want to save files. Then as you come across files you need to save, just drag them over.
Hope this helps.