There really isn't a simple way to do this with just the built in capabilities of FileMaker. You may want to investigate the use of a "file" plug in to see if any of them would allow you to select a folder and return the path to the folder so that you can use it in your save as PDf step to save the PDF to a user selected folder.
In my solution that's used on both Mac and PC I set all users up with a folder on their desktop. That folder contains subfolders for all the kinds of PDF documents they can export from the database.
To create the path within filemaker I use a Get (DesktopPath) function in my calculation.
Works both on Mac and on PC.
Thanks DaSaint. That's a good solution.