In the Administration >>configuration>>backup you can change this behavior. Default is to save to the course folder. Create a folder where you want backups saved, at the end of the backup config section there is a box to input the full path to the folder /home/user/path/to/folder
I would not put this in a public accessible folder but in the root folder
If you have command line access you can then move all the backups to this folder. Otherwise you are going to have to do it one at a time or just let the new backups generate and then delete the old backup folders
Make sense?