There doesn't seem to be a setting for this. Is it possible?
First close your client down and then copy the .bitcoin folder that was created in your home directory to the new location where you wish to store the data. Second create a symbolic link using the new path:
ln -s /new/path/to/.bitcoin .bitcoin
Finally restart the bitcoin client and it will use the blockchain stored at /new/path/to/.bitcoin (or wherever you put it)