I'd like to know too. At the moment my Gear has decided to save my its to my phone's internal SD's root folder (probably as a result of my phone's current custom ROM config, I assume) I'd love to specify which folder the Gear photos are saved to.
*=- Sony Xperia Z2 D6503 -=*
*=- Samsung Galaxy S4 i9500 32gb -=*
*=- Nokia Lumia 920 -=*
*=- Samsung Galaxy Nexus (Maguro) -=*