Graeme,
I'm sure it's something simple I'm missing but I just can't figure it out.
have you had a look at 'Build Rules', found at Tools->Preferences->Build Rules, and right-click in Project Manager and right-click and select Edit Build Rules.
That tells you what commands are executed when you build file(s) with certain extension. The default installation of Studio should go close to what you want e.g.
$(fglcomp) $(FglCompilerFlags) "$(InputPath)"
$(move) "$(InputDir)/$(InputBaseName).42m" "$(TargetDir)/$(InputBaseName).42m"
$(InputDir) would be the directory of your source
$(TargetDir) would be the directory for your compiled code.
I do wonder if the text configuration files (4ad, 4tb, 4tm, 4st) should have entries to copy these files to the target directory as well e.g. create a build rule for .4ad etc that is ...
$(copy) "$(InputDir)/$(InputBaseName).4ad" "$(TargetDir)/$(InputBaseName).4ad"