I have a test script opened. I save it, close it, then click menu to open test script and developer points me to the previous folder, instead, not the one where I just saved the script. It's true for all file types and is very frustrating. Is there option to prevent this behavior? I'd like open to use the same folder I just used to save the document.

There is no option for this. We'll check it out.

Here I did it for you:
You are saving last directory by type (i.e. sql script, test script, etc.)
When user presses open, you offer the saved directory.
When user saves the given file type, you are not overwriting the saved folder by type.