This feature from MPLAB 8 is not currently supported. MPLAB X has a fixed directory structure within your project directory. Intermediate files are always sent to one of two locations depending on whether you built for debug or built for release.
Adding an option for custom intermediates directories is on the list for possible future enhancements.
Production Builds
Production builds always store the intermediate files in the following subdirectory of your project:
../MyProjectName/build/default/production/MyProjectName.production.hex
Debug Builds
Debug builds always store the intermediate files in the following subdirectory of your project:
../MyProjectName/build/default/debug/MyProjectName.debug.hex
In the above paths, MyProjectName is the name of your project and default is the name of the project configuration.