When you are in a Save As... dialog, Apple has very kindly provided a Spotlight search box for your use. However, in the results view that is provided, you apparently cannot tell where the found items are on your disks.
Fortunately there is a way to see this info. First of all you must be in column view. Select the found item that you are interested in saving the new items as. Switch to list view, and the current folder name will appear above the file list in the drop-down menu. Clicking on this folder name will drop down the entire folder hierarchy of your found file.
If the item that you clicked on was not the one you were after, hit the Back button and try again.

