This is actually mentioned in the FAQ:
http://gtk-gnutella.sourceforge.net/en/?page=faq#down7

It is a bit odd that you experience this though because it won't happen with default settings and a reasonably recent version of gtk-gnutella. Unless you're using a really old version of gtk-gnutella, it will normally create the directory ~/gtk-gnutella-downloads/ with three sub-directories: complete, corrupt, incomplete.

You can change the paths for these in the preferences dialog under the "Downloads" settings. Just make sure you pick separate directories and gtk-gnutella won't append ".OK" to completed files any longer and just move them to the directory for "complete" files.