Ideally you would want the servers drive(s) remapped, so that c: becomes m:, etc. You can't remap the drives once MetaFrame has completed installation, but the following procedure should still work;
(By default, the clients' c: drive will have been mapped to w:, if I recall correctly!)
You will need to set the default file locations within the apps to point to the client drives. You should be able to do this for all new users by running the app in change user/install mode, making the changes (as admin), then putting the server back into execute mode.
The more conventional way of doing this is to log in as a default user and do the same thing, but each to their own
For existing users you will need either to recreate their profiles - thus effectively making them new users, or go round each one pointing the default file locations within the applications to the correct path. I know which one I'd rather do at a 5,000 user site!
Another procedure I prefer over letting the users save locally, is to make the default location a share point on a File Server mapped as a drive. This way, all documents are saved to a network file server (NOT the terminal server!), backed up every night and virus-checked.
Hope this helps