Yesterday I figured out (together with a friend, Leendert) how to set your R working directory to the path of the current document you're working on in TextWrangler.
We developed two scripts: one for setting the working directory of R directly, and one for adding setwd('/the/directory/of/your/current/document/') to your current document.
If you would like to use them, download the scripts below, and place them in ~/Library/Application Support/TextWrangler/Scripts/, and assign shortcuts using TW's Window -> Palettes -> Scripts menu.
Download the scripts here:
the script to set R's working directory directly
the script to add the setwd command to your document