When creating new files from within vim, using :e, you may find yourself
creating that file in a directory that doesn't yet exist. Vim will tell you
as much if you then try to save that file. To get around this, I have often
shelled out with :!mkdir %:h. This is a bit awkward to type though.
The vim-eunuch plugin comes with a
handy command for this. :Mkdir will create the parent directory for the
current buffer. If you're in a situation where multiple levels of the
buffer's directory don't exist, you can use :Mkdir! which will invoke
mkdir with the -p flag.