First of all, the above answer saying the PCB fab won't care is correct. But you should care for your own sanity, as you will have a large number of files to manage before long.
You can configure the footprints / models directory in several places
Go to Kicad main screen.
Open your project.
Option (1)
Menu->Preferences->Configure-Paths
you can see where the modules and packages live. You can add your stuff there but not sure whether Kicad will blow it away if you upgrade the standard kit.
Option (2)
Menu->Preferences->Manage-Footprint-Libraries
Note 2 tabs: "Global Libraries" and "Project Specific Libraries".
At the bottom of the screen, under "Path Substitutions", you can alter
${KIPRJMOD} (project specific models) ... THIS may be one to change
${KISYS3DMOD} (models) ... don't change this
${KISYSMOD} (footprints) ... don't change this
Also! In each model, you can also use relative paths. So if you have a folder with models, whether or not project specific, the model can refer to a relative path to a "./models" subfolder where you can keep your STEP files etc
You can edit the text file directly, or in the Footprint Editor:
open your footprint
Menu->Edit->Footprint-Properties
click on 3D-Settings tab
note your 3D model path probably begins with ${KIPRJMOD} defined above ... then you can define relative path to the file here...
e.g. how I have it:
${KIPRJMOD}/_footprints/_models/foo-bar-1234.step
Not sure if this is the best way to go. Note that this is project specific, but the files stay with your project which is helpful if you just want to zip it up and go. On the other hand, if you fix a bug in the footprint, it won't propagate to other models if you're doing it like this, so do use caution. If you are reusing the part, you may want to set up a common library, or better yet, upload it to KiCad so that everyone can use it.