You generally speaking won't want all virtual machine snapshots (for all virtual machines) in one location, as you're looking at a lot of Copy On Write load for that LUN or datastore (this also means you're looking at a lot of SCSI reservations being made).
With that said, having them all in one virtual machine directory for each virtual machine also seems less than desirable, but it ensures files are easily found.
Still, you can relocate the files by modifying the .vmx file as per the KB article suggested, or set the default working path for a directory, again through the same concept.
Also don't keep snapshots longer than you need to; they're not backups and do have demands of their own (particularly with space and commitments/removal). http://kb.vmware.com/kb/1015180, as posted above, is helpful to explain how space utilization works between delta disk files.