Ahha.. found it... here's how to get to the ADVANCED dialog...

Drop-down menu, choose 'Podcasts' -> 'Preferences' -> (press the buttons) Fullscreen-Fullscreen-Plus-Minus-Plus-Fullscreen

Start typing 'down' and scroll down to 'download_dir' and you can tap next to it to set the path.

Hopefully Thomas will fix this awful method of accessing the advanced menu soon.