After you open the menu, send Shift-Command-G, then you can use Insert Text by Pasting (or Typing) to insert the path. Then you need to send the Return key to get out of the path dialog, then you can insert your name and click Save.
BTW, there are any number of backup utilities for macros here already. I wrote one (MacroBackerUpper) that uses the same Export All Macros as Folder (with the same Shift-Command-G trick) to create a Time-Machine-like series of backups of your macros.
And @DanThomas has a more-feature-rich versioning system, and I'm sure there are others. So if you're spending too much time on this, you could consider one of the completed macros.
-rob.