I've just installed LW onto my fresh Windows setup and set it to save completed files to D:\P2P, it automagically created and is saving incompleted files in D:\Incoming.
It would appear the incompleted directory is not configurable, and default is to save them on the same partition as the completed files folder.
It would be good if I could change where the incompleted files are stored (D:\Incoming isn't ideal), but after my little shuffle around and re-install I have plenty of space, so it isn't so much of an issue as it once was.
Thanks for your help with this guys, I think we can safely say the new version of LW doesn't have an option to configure where incompleted files are stored hehe. Oh well, case closed
Cheers!