I specify build.path and all is working fine.... BUT! When I close IDE, files deleted immediately 
WHY? In preferences I uncheck [X] Delete files...., but it don't understand me 
I suppose, that preferences.txt file must allow wildcards and runtime parameters. It would be nice, if I can specify something like:
build.path=%PROJECT_PATH%\applet\
Okay, that for newbies. But "an old assembly language programmer" jrraines (and me too) can find Makefile in the same path, where bootloader lives:
[ Arduino-0018\hardware\arduino\bootloaders\atmega ]
It is simplier than run IDE and then searching, why problems are growing
How to change makefile and execute, I hope you know. Then you can write your application in every text editor (WinAvr have Programmer's Notepad) and compile in command line or somehow else.
I use FAR manager with built-in text editor. I used it always, almost 15 years. So, I specified in FAR what I want to execute, when I press Enter on some file types, like .hex (avrdude sends it to arduino), .asm (compile using make), .pde (compile using make) - for all projects in assembler, or C, or modified C like Arduino IDE uses you can create Makefile and then copy to simila projects and change only filenames...
When I purchase Arduino Duemilanova, my friend said - IDE is for newbies. I didn't agree with him, but now I agree.
And there is another reason. Big REASON, why not to use IDE. I saw it today, when trying to use applet directory. My code compiled in 0017 and stored in the projects's applet directory and then without changes compiled in 0018 - second one is bigger. Why? It adds Tone library and you cannot include nor exclude it in project. I think it is nonsense. Arduino is not PC with at least 1 MB memory. So better is to write in C or ASM. I find on Internet some mathematical functions for asm and it is great to program in pure processor's language.
Including Tone library was not so necessary. IMHO. It is good - you can output more than 1 line at the same time. But for small projects it is better to write ~5 rows of code, what gives you ability to output specified frequency and length.
Simplest way - get back your copy of 0017
Best wishes to all!
I love arduino!