User profile paths in RemoteApp sessions

I try to setup a terminal services farm, serving some of our LOB applications. The main goal is to use them as RemoteApps through Terminal Services Gateway for the users, who are somewhere away from the headquarters. I've got no big problems setting up a farm, web-service and the gateway. My headache is now about user profiles.

Imagine you run Excel application as a RemoteApp from external network. Then you click "Save" and you get the profile's Documents path on the TS-Server by default. Users won't understand it's not local, save the file, and after some time discover it is "lost". Unfortunately, we don't use roaming profiles throughout our organization, so it's not the way to go. Besides that, user on the external network won't have access to them itself. So the only way is using local profiles on user's machines for storing the results of their work.

I am trying to get it to work – the GPO makes a couple of things – it runs simple commands:

net use x: \\tsclient\c
md x:\ts_remote

I use x:\ts_remote path, because the user named "John_Woo" in our corporate network can be named just "User" on his private local machine, not joined in the domain, so I can't use default user's C:\Documents and Settings\%username%.
Then I am launching a little script:

Dim WSHShell
Set WSHShell = CreateObject("WScript.Shell")
WSHShell.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\Personal", "X:\ts_remote"
WSHShell.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\My Pictures", "X:\ts_remote"
WSHShell.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\Desktop", "X:\ts_remote"

Though it somehow works, I really don't like my setup. The first big problem is that X: disk (user's C:) is sometimes not mapped at all for some weird reasons. Or it is mapped, but in some "offline" state and activates only when you click on it. The second thing – mapped X: works sometimes extremely slow! I mean really bad performance, it can take 15-20 seconds to open Save dialogue box, and then about twice longer to really save the empty Excel spreadsheet.

The most strange is that sometimes maps, sometimes not. Sometimes it works fast, but again – I don't understand the reasons, when it gets really slow. That are not network issues for sure or server's performance. My main question is – Do anybody have some advices and practices, redirecting profile's paths to client's disks? Maybe I am going not the right way at all. Thank you.