I have all PBEMs in the save folder - I didn't separate them. Instead, all the SP games (including succession games) got their own folders. Old saves get thrashed every now an then, leaving 2 last turns (received, and sent). I usually ask people to give them correct names (game name, game date), so the mess isn't that bad (sort by name).
Found no solution for the clicking when saving the files. Getting a separate PBEM e-mail, and a separate PBEM mail program (they usually remember the last folder files were saved into) seems like overkill. Of course, if you don't get many non-PBEM attachments, your one mail client should do the trick just fine.
What I did, was setting up filters, so that all e-mails with PBEMs, and PBEM-related stuff are separated from my normal mailbox. It makes things a bit easier.