Usually, VVVVVV saves the games in my Documents folder. How can I change this? I don't want my saved games appearing in my documents folder – I just don't know how to change the location without corrupting my progress.
You probably can't. VVVVVV is a flash game that is "converted" to a mac app via something called Flash Projector. Since the entire game (including saving and reading files) is written in action script and translated through this projector interface, the game is probably using the AS3 File APIs to write/read from a hardcoded location such as your documents directory.
It doesn't sound like you're willing to just symlink that directory elsewhere - you want it completely gone from your Documents folder. And that is something you can probably only do by convincing the developer to change the location and send you a custom build.
Hey, it's an indie game, anything is possible.
You can do it if you want to put a little work in and use the Terminal.
The first step requires moving it where you want it.
Next create a SymLink in place of the folder's original spot with its original name pointing to the new location. Open the Terminal.app in /Applications/Utilities and type:
cd ~/Documents/ ln -s /new/location/of/VVVVVV/folder VVVVVV
Then lastly simply make the SymLink hidden.
chflags hidden ~/Documents/VVVVVV
A tip with the Terminal is you can drag the proxy icon (The folder icon in the titlebar of a Finder window) into the Terminal and it will type out the path for you. So just type cd and drag the folder icon for Documents in, or type ln -s and drag the VVVVVV folder from its new location into the Terminal and it will save you time trying to type out the entire path.
If you're afraid of the Terminal, don't worry, nothing here is destructive.