You can use the DOSBox installer from here. It will create disc images and mount them in DOSBox. Images can be swapped in-game by pressing Ctrl+F4 when it asks for the next disc. I am hoping to have an installer that won't even require swapping images or discs, just the way the GK2 and both Phantasmagoria installers do. If you do it, let it install in the installer's default location. That way the save games won't end up in the virtual store.
By the way, the StC save games might be in your documents or save games folder, if jafa's divert them there. If not, they will be in your VirtualStore.
Edit: they are
somewhere in your user folder. From his RAMA page:
Per-user save games (Vista friendly).