open the global preferences process, click on the directories and network section, and then specify one or more directories where you want to store swap files. then when done, click the global apply button (the circular button at the bottom of the window.)
the system temporary folder(s) is a totally rational place to store files, but over the years it was discovered that sometimes windows (and macosx) will clean out these directories automatically, thus preventing you from saving your projects. so juan added this warning so that you will know you are at risk of this happening.
rob