One shouldn't anticipate to do more work than needed. We're talking about usability and convention here, not that it's hard or surprising to have to set a destination. If you check other popular software(MS Word for instance), the destination folder when no folder is selected is by default the same folder where the original file resides. This makes sense because more often you want to save a modified version in the same working area. Normally files can in a working project can be distributed over many folders.
WavePad breaks the convention and saves by default into the last folder saved to. This requires the user to do more work than necessary in often being required to manually enter the folder, which makes less sense, is annoying, and goes against convention and usability practices.
I'm raising this point to alert the developers that the user interface needs some polishing. [Better than the stupid pumpkin heads and Santa icons they keep pushing!].