By default, the incomplete folder will be in the same parent directory as the downld folder. Change your downld location & the incomplete files will copy across to the new location for the incomplete folder during that process. Go to LW's menu bar, Tools>Options>Saving & choose a new location for the downld folder (called Shared by default) & press apply. eg: I have my downlds going to G Drive instead of C.

Another more complicated method is splitting your downlds. The incomplete folder will "follow" your Audio downld folder. See How to Change download location (click on link)