If you have some folder where you really want to put your custom textures and have every model find textures from there (for example, whatever folder you have
Custom Skins
inside of -- its parent) you can add a folder to Retera Model Studio itself that will be used for resolving textures from all models:
I doubt that very many people do that. But you mentioned "the WC3 MDX directory" and I do not know what folder that is, unless you mean the folder where your file is currently saved. So, if you wanted to load textures that are not in the same folder as them current MDX file -- or textures that would load for an unsaved file that has no associated directory -- then you can add a folder like this to the list of places that Retera Model Studio will go to look for textures [for all models].
Be advised that this also affects the lookup of more stuff than only textures, so if you put models in a folder added like this then you will be able to quick load those models from the Data Browser as if they were ingame models, too.