Note that this applies only to MS Windows users of R.
I today discovered a super easy way to set and change the working directory at startup for Rgui.exe sessions.
First, right click on the shortcut that you use to execute the R gui.
Next, select: "Start in:" from Properties->Short cut.
Finally, enter the complete path to the directory that you want R to start in.
The outcome is illustrated in the picture at right (obtained with Windows 7's built in "snipping" tool).