Hi Steve,

There is a location called SketchBook on the "set Ide location" window. Drop down the applications list on the tool bar (ie: Arduino 1.5.x) and then click <Configuration Manager>. There are two locations per application so you can save projects for different types of micro controllers in the same place or different. Few things to keep in mind.

The concept of a sketchbook folder is Arduino's not a Visual Micro thing. When the location is empty in Visual Micro we use the location that can be set in the Arduino Ide. 

The sketchbook folder, which defaults to "documents\arduino", is also where custom libraries and custom hardware can be defined (example "sketchbookfolder\libraries\my_rtc_lib")

So when you alter the folder have a think about if you have installed any extra arduino stuff in the existing one.

Once you have opened an .ino and Visual Micro has created a project for a sketch you can also then use the standard Atmel Studio commands to open the sketch such as "File>Open>Project". Doing so will cause the sketch to be added to the "File>Recent" list. If you only use Atmel Studio for Arduino then you could use this route as preference and use Atmel Studios standard tools>options system to set the default location. 

Hope this helps and makes sense. It might be that splitting out where we look for custom stuff would be a good feature to add   

Open sketch will use the SketchBook folder path for the currently selected Ide. This area has been extended in recent versions. Are you saying the open Sketch is ignoring the sketchbook folder set in Visual Micro?

"Save as" can be achieved a number of ways please be specific about what you are clicking. All the "Save as" settings are core Visual Studio or Atmel Studio commands so they should be controlled in whatever way each Ide allows (see the help doc for each Ide for more info).

However, if trying to rename  a sketch then right click the [sketchname].ino and click "Rename". This option has a special work attached which ensures the Arduino rules are followed by renaming the folder, sketch and project for you.