When you save a document for the very first time, Mountain Lion insists the default save location is iCloud. If you would like to have it as was pre Mountain Lion then copy the command from the next line…
defaults write NSGlobalDomain NSDocumentSaveNewDocumentsToCloud -bool false
Then open the Terminal application, paste the copied text in at the Terminal Command prompt and press Enter.
Should you want to put it back to the default save location of iCloud, do the same with the command below.
defaults write NSGlobalDomain NSDocumentSaveNewDocumentsToCloud -bool true
Quit the application and then reopen for the changes to take effect.