Hi Colin.

I do not think InfoPath is included in this default folder functionality.

Here are a couple reasons why.

When you open InfoPath it will show you the "cached" or last templates that
have been opened. Like Recently used, so I believe they intended that that
would provide  you the selection of various forms you are using.

I think you might be referring to the XML documents themselves not the
templates.

Best practice in InfoPath is not to use the save and save as functionality.  
Typically you configure a submit data connection that saves the documents to
a specified location with a standardized naming structure. (This would be by
template)  Via a single button.
Then usually users would browse this folder/ web site/ sharepoint location
for the file they need and open it directly. Instead of doing some kind of
file open process starting in InfoPath.
Are you the only one using the documents? If so, you may not be as
regimented but then you are not the typicall usage scenario where most often
multiple people are using forms from some kind of shared location.

Hope this info helps.