Mac OS X is a protected multi-user system. If you scatter documents all over the disk you will run into privilege problems (not being able to use your own documents or not being able to make settings permanent). You really should store all of your documents in the Documents folder in your Home folder. This may seem like an unnecessary limitation at first, but it makes a lot of sense.
First, if you ever need to move your stuff to a new computer (for example, if you upgrade) you can just drag the folders in your Home folder across and its done. Second, if you have other people use your computer (and you create a user account for them) they won't be able to access your documents (unless you change privileges to allow them to). Finally, the system will make sure the privileges are correct - you will be working with the system instead of against it!
Update: Recent systems try to stop you storing stuff in the wrong location. If the system warns you, or asks for a password to store files in a particular location, then you probably shouldn't do it, unless you know exactly why you need to.
TIPS PAGE