This code will prompt you to create the directory with :w, or just do it with :w!:
augroup vimrc-auto-mkdir
autocmd!
autocmd BufWritePre * call s:auto_mkdir(expand('<afile>:p:h'), v:cmdbang)
function! s:auto_mkdir(dir, force)
if !isdirectory(a:dir)
\ && (a:f...