If the directory you wish to save to is a sub-directory of your working directory, simply specify the relative path before your file name:
fig.savefig('Sub Directory/graph.png')
If you wish to use an absolute path, import the os module:
import os
my_path = os.path.abspath(__file__) # Figures out the absolute path for you in case your working directory moves around.
...
fig.savefig(my_path + '/Sub Directory/graph.png')
If you don't want to worry about the leading slash in front of the sub-directory name, you can join paths intelligently as follows:
import os
my_path = os.path.abspath(__file__) # Figures out the absolute path for you in case your working directory moves around.
my_file = 'graph.png'
...
fig.savefig(os.path.join(my_path, my_file))
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