I tried the instructions in the thread Atahualpa 3.7.11 - how to save your header images across updates: the new option in the 'Header Image' section of the theme options -> 'Header Images Directory'.

This option does not seem to save into the database something like "../../atahualpa-images/header".

It does save to the database the input like "../../atahualpa-images-header".

1) how do you know it is not saving into the database? Your example works for me.
2) this will change with 3.7.12 because some sites prevent the use of '../..' because of security errors
I've sent version 3.7.12 to Flynn (the developer) and after he reviews it he will submit it to WP for review so it may take a couple weeks to show up at WP.