Hum ... I tried (as the user zaurus):
$ mkdir /hhd3/.operasave
But an ls -la shows the owner to be root ... I'm confused
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FWIW, hdd3 is vfat formatted, so I think that's why you can't have any other owner than root (I suppose that the disk is monted by user root during the boot, and as such everything is owned by root since vfat doesn't store owner/group informations).
Did you try to create a /home/Zaurus/.opera directory (as user zaurus)? My bookmarks are saved in there in the opera6.adr file... Maybe Opera somehow cannot create it by itself and you have to do this manually (though I don't remember creating this one myself...).
Did you try to run Opera as root from the console? Maybe this would be enough to create the needed directories, then you can exit and relaunch it as user zaurus to see if it does improve things.