Adding to Answer 3, above, working around the situation by re-purposing templates at C:\Program Files (x86)\Microsoft SQL Server\110\Tools\Binn\ManagementStudio\SqlWorkbenchProjectItems\Sql.
You'll have to add permissions to the machines user accounts for Full Control. (Right click the destination folder, Properties, select the machine users, Edit, etc.)
Even then it's like Steve Balmer headed this solution off at the pass. You can save a file there but when it is opened in SSMS, it isn't opened under that .sql file's name, it's a generic name. So there's all this rigmarole just to keep your queries, functions, table scripts, sprocs, etc. all organized.
Great answer but on Windows 8.1, it got precluded.
The best answer I have is saving via SSMS to the file system which I think will respect the nesting of .sql files. I have to create a Database Project in Visual Studio 2013, in which I can set up folders as they make sense for my product flow.
But I can't open these queries via Server Explorer in Visual Studio ... however it is then possible to organize queries in one place if they're In Work, SPROC Scripts, UDF Scripts, etc.
There is no IDE for doing this sort of project work and yep, in the words of another respondent here, that's sad.
Rambling and ranting here a bit ... in other words I can get the folder structure I want with a DB Project in VS 2013 but if I want to log onto a remote server to test them, I have to access them file by file from SSMS. Pain in the back side ... I want an IDE that does this.