The path is saved in profile.txt you can make this a absolute path or a relative path from where picklelauncher is run.
The next version will have support for adjusting font size.
I got around the problem by removing the appdata directory for GnuBoy and choosing the right directory on restart, which is then the default directory afterwards. My main concern was the default path for GnuBoy leads to some problems.
Good to know about the path location though.