Yes, we can hack the files, but it means making the changes every time the theme is updated.
It would also be a great feature for people using a WP Network since each user could use his own folders for all the images.
All it would take maybe is a path to the images folder and the hierarchy for the sub-folders would be kept.
$path/images
$path/images/headers
$path/images/favicon
etc.
It seems somebody already has done all the hard work and it would just need to be added to the next revision:
http://alantait.net/2011/01/15/wordp...header-images/