You can just do .\ and your file name and it will automatically save it where your workflow is saved. If you haven't saved your workflow yet it will end up saving it to a temp location in your Alteryx directory.
Nice little shortcut I had no idea even existed and per @NeilR you can also just not put a file path there and it will save wherever your workflow is as well, thanks for the tip!
Saves output to where your workflow is currently saved