You should always save the forms to directory "A" and publish them to directory "B" when you have made changes to the form and are satisfied with them. The XSN will keep track of both of these paths and will use them accordingly. If you do this, you shouldn't need to use the Save As feature or deal with Save File dialogs after the first time.
You are correct that forms can't be opened in data entry mode after they have been moved. This is a security precaution. Nonetheless, forms can still be re-opened in Design mode, modified, and resaved or republished after being moved to a new location.