I think this isn't possible yet. You might want to add these to https://forums.opera.com/post/61436.

One of the things I really disklike about Chrome is that it clutters up my HDD by automatically saving everything to the Downloads folder. 90% of my downloads are a one-time thing, and I want them saved to a temporary folder which is periodically automatically cleared out (such as C:\Users<username>\AppData\Local\Temp for Windows, \tmp\ for Linux, and the equivalent for Macs). If I actually do want a file permanently, then 90% of the time I want it saved somewhere besides the Downloads folder. That leaves 1% of the time in my usage scenario when the default behavior works for me.

It's one of the killer features I like about Internet Explorer (gasp!). Everyone has their niggling annoyances, and this is mine. Opera 12.xx let us do what we wanted, and when y'all developers have time, I would really appreciate this feature. Good job on getting bookmarks a big part of the way there, though!

Is this feature in the works? It's yet another thing we're missing from Opera v.12.