In Windows, it creates a Glow directory in My Documents/My Games, and in OS X...
So you can see it's really quite awesome and makes the game look much more professional, as well as allowing me to sidestep any issues with where the game is being run from (Freezer 2 on OS X crashed if you were running it from a write-protected directory).
It's a minor thing, but it's just one more thing that makes the game look good and treat its users well. Plus, you can keep your configs and save games between patch versions.
This module (PropaneFS) will be available in the post-Glow 0.5 public release of Propane Injector.