The MultiSH4 v1.5 applet is what is used to create Save folders for each of the games. You'll have to read up on that, and if you use RR's Corruption Management System, definitely read up on it's use. There are limitations with each. There's a little more flexibility with doing it manually, like you are, with a copy of MultiSH4 in each of the game folders to set your "Save" folder, but RR's little utility, once you get it set up, is so much easier to use, and does all the hard stuff for you. All you have to do is wait on the computer to respond and finish...
