I had wondered why in Windows Lispworks creates the .slime directory in a different location to sbcl.
Turns out that Lispworks determines user-homedir-pathname from the HOMEDRIVE and HOMEPATH environmental variables. I discovered this after SWANK errored out when Lispworks attempted to create the .slime directory on a network mapped drive.
Setting the HOMEDRIVE and HOMEPATH environmental variables in slime-lisp- implementations fixed this.
-Luke