The Finder sucks, a lot, so file system traversal can be a pain. There are free alternatives though nothing comes to mind right now. You can create a folder at

The Finder sucks, a lot, so file system traversal can be a pain. There are free alternatives though nothing comes to mind right now. You can create a folder at save-time - there should be a disclosure/down-arrow button to the right of your file name textbox (this is a universal cue for "click here for advanced options"). This will roll out the advanced settings. This gives you all the standard file system manipulation abilities you're looking for, including New Folder.