Hi David,
That option is for setting search paths for finding include files, not necessarily saving them. When you specify a relative file path, it uses the paths in that setting to search for the files. If you're looking to save header files in different folders, then you'll have to originally save the header file in the directory you want. With a new header, you go to File >> Save As to browse to another directory. If you have an existing one, then you'll have to manually copy the header over to another directory. Then, in your project, right-click on the header file in the project tree and select replace file in project. Then browse and select the new file path, and it should now reference that path. You might have to go to the settings and add the directory to the search paths so that you can find the header when you compile. Hope this helps!
Jeremy L.
National Instruments