Is there a way to configure the directory SQL Developer uses to save SQL scripts?

Change it in Tools > Preferences > Database > Worksheet parameters. You can browse to a new location under "Select default path to look for scripts"

Can also change the Export Data so that it defaults to somewhere else. Go to Tools>Preferences>Database>Export and Browse to the location you want to export to for "Directory".

Found it ...

In the Choose Directory dialog, the left hand side has a number of commonly used short cuts, e.g. Desktop, Documents, but you can also have your own directories in there

There is a post about this in OTN, and AlexAnd's solution opens the specified folder when I do File => Open.

The post is @

https://community.oracle.com/message/9733247#9733247

AlexAnd is saying that locate "\sqldeveloper\sqldeveloper\bin\sqldeveloper.conf" and simply add "AddVMOption -Dide.user.dir=" (where " is the full folder path that you like to use) to that file.

The disadvantage of this solution is that it will also move your settings folders to the specified folder (for me it was about 34MB), I use drop box to keep my queries so that is a wasted space.