You can create a separate folder/directory (e.g.: Transformations) inside any of the already present directories (say: Admin). Next refresh your repository/cache and you will be able to see the files. Link it from your CDE.
Now ideally when building a project, i used to have a separate folder with my project initials say PROJECT. Inside this folder, i used to create the rest of the sub-folders. This helps in separating the project codes.
Hope this helps :)
Edit:
The files in user console cannot be accessed from your local system post pentaho version 5. The only way to upload or download file is either to load it from User console or execute commands from command line. Check the below link. The files are internally stored in jackrabbit repository of pentaho bi server.
http://infocenter.pentaho.com/help/index.jsp?topic=%2Fadmin_guide%2Ftask_import_export_repository.html
Extra note: If you still want to access the files, there is REST API to handle most of the pentaho bi server capabilites. You may check this link also: http://help.pentaho.com/Documentation/5.2/0R0/070/010/0A0/0Q0#