By accident, I just discovered that (in 10.3.x at least), one can spell-check file names in "Save..." and "Save As..." dialog boxes -- provided the application is Cocoa-based (e.g. TextEdit, not BBEdit or Word). Select the word in question in the filename you will be saving, then control- or right-click to access the contextual menu with the correct spelling. Unlike the main text area of the document, misspelled words are not underlined in red.
The same idea works in Safari dialog boxes, for example, but you probably already knew that....
[robg adds: By enabling the Check Spelling as you Type pop-up, I was able to get incorrect words to appear with the red underline, but it seems you have to check this option each time...]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20040123103740235