After much digging I have finally found the solution. All credits go to Leonardo Gomes for figuring this out:
http://postimg.org/image/3ljnk9hu9/ (from the comments in this blog post: http://blogs.opera.com/desktop/2014/10/visual-bookmarks-opera-for-computers/#disqus_thread )
Remember to close Opera before editing the code. AppData you will only find if you have hidden folders not hidden.
This is a pain in the butt, I cannot understand why Opera have not fixed this. It can't take much work to implement it.