This has been requested many times, so I think it will be implemented at some point. In the meantime, you can take advantage of the fact that files opened from other ones will inherit their working directory. So if file a.txt is in some/path, opening a new file from a.txt (ctrl + n) and hitting ctrl + s will prompt you to save under some/path too.
That's the standard behavior in Windows, at least.
If you want to vote for the feature you describe, you can do so in sublimetext.userecho.com, by the way.