I figured out another way from the command line.
1. You probably want to stop the sw update service first. You can do that in the GUI. But if you want to perform this exercise all from the command line, use the following:
serveradmin stop swupdate
2. This shows the current setting for the storage location:
serveradmin settings swupdate:updatesDocRoot
3. This will set a new location. Note the quotation marks (") on the path, use them.
serveradmin settings swupdate:updatesDocRoot = "/Path/to/swupdate/store/"
4. Use the first command again to check your handy work:
serveradmin settings swupdate:updatesDocRoot
5. Start sw update service from the GUI or with this:
serveradmin start swupdate