We train our users to save their pst's to a subfolder of their My Documents folder. "My Documents" is redirected to the SAN.
The heavy users have X1 desktop (an indexing and search application). We train them to use X1 to search pst's outside of the Outlook client.
This set up reduces the risk of local pst storage, keeps Exchange storage down and reduces Outlook bloat which enables the Outlook client to open faster.