Is it possible to configure Ollydbg to save these files in same directory as .exe, not in ollydbg directory?

well it isnt impossible to do it
but you have to change the directory path everytime you open anew exe and thats damn boring

well ask psycko (shag in c4n,win32asm,coders) if his olly script can dothis repetetive task then you can run it which might possibly store the udd and bak in the directory that exe resides and all other implications like restarting the olly that arise due to change in directory