Woohoo! Not only are save files created and read from the saves folder, but so are save states and screenshots! (Yay for guessing correctly!) Thanks a bunch!
I have a similar problem on the Wii. I have on config.ini under ports.wii (savegamePath=sd:/mGBA/saves/) and it works great just for *.sav however save states and screenshots do not get copied over. I tried checking other threats for a fix and no one seems to mention any solution.
there are different config settings for those. I forget offhand what they are, but they're mostly predictable.