So just creating a directory called "SYS:Saved Games" should fix it?
Nah... not unless you hack the original...

On a floppy it looks for files called...
DF0:SettlerSave-
Where the "-" is replaced by a number from 0 to 9 by the program...
On HD it looks first in the drawer from which you run The Settlers then in SYS: for the file...
SettlerSave-
Again where "-" is a number from 0 to 9...
So I changed the main code to look for...
SET:StlSave-
and this allows me to create a drawer anywhere called "Saved Games/The Settlers/" (or anything you like really) as you then only have to run the game from a small script the assigns SET: to point to the drawer where you want to store your saved games, works perfectly...
