Sure, it's just a pity there's no kind of shared context, such that if the last 8 or 10 operations were in a particular folder, a new operation with a similar document type might default to looking there.
On Windows, there is a shortcut to recent folders on the left panel. Also, in most open/save dialogs the file name field has a history pop-up list with full paths. You pick one, delete just file name, hit Enter and jump to it's folder.
You can copy and paste paths between file manager and Open/Save file dialog in most instances.