If I were going to try to add the permanent save location with local folder structure like "D:\winscp_bkp\%server%\%path%", to the source code of WINSCP, what files would need to be edited?
I've done some MFC/C++ in my college times, so please just a couple of clues.

The option you refer to has nothing to do with keeping temporary copies of remote files after exit.

Feature that you ask for is tracked here:
https://winscp.net/tracker/593

I'm trying to replace nppftp with WinSCP, but would like to retain the automatic file caching that's present in nppftp.
There's a setting 'Permanent cache' in Environment/Directories, and I've set the DDTemporaryDirectory=%2E%5C option in WinSCP.ini.
Now, upon launching external editor the winscp creates a temp folder like scpxxxxx on my usb drive in the winscp folder, but it isn't permanent, it's deleted on winscp close.

Is there a way to keep the last backup of the file opened/edited on remote site?