Read this piece on cult of mac on how to change the default save location in OS X Mountain Lion (10.8). As everyone who is running 10.8 will know, the default save location has changed to iCloud. Of course you can easily navigate to any local folder, it can still be a little annoying from time to time.
This youtube video explanes how to do it:
Necessary Terminal commands:
defaults write NSGlobalDomain NSDocumentSaveNewDocumentsToCloud -bool false
defaults write NSGlobalDomain NSDocumentSaveNewDocumentsToCloud -bool true