It isn't too much of a problem for initial testing, but we could do to sort it at some point. Currently WarFoundry keeps its data files in a sub-folder of the install directory (although there is code to support multiple directories, so once we get a properties dialog you can start specifying other folders) and all other data is in your "app data" directory (~/.config/IBBoard/WarFoundry/ in Linux and something like c:\Documents and Settings\username\Application Data\IBBoard\WarFoundry\ in Windows).
The "app data" directory is fine and even correct for things like your stored preferences, but not really as the default for saved armies and exports. Eventually we'll save the last location that you saved to, but we still need to define a sensible default. There may be some constraints on what can generically be supported, but what do people think is the most sensible default location for Windows/Mac/Linux?