Make sure config directory is created

[chapulina]

🦟 Bug fix

Fixes gazebosim/gz-gui#294

Summary

Make sure the directories are created before copying the file there.

This is already done for server.config:

https://github.com/ignitionrobotics/ign-gazebo/blob/ad0ddc4d04c8a2d021b86bde182be4bc04a8b71a/src/ServerConfig.cc#L887-L918

Checklist

• Signed all commits for DCO
• Added tests
• Updated documentation (as needed)
• Updated migration guide (as needed)
• codecheck passed (See contributing)
• All tests passed (See test coverage)
• While waiting for a review on your PR, please help review another open pull request to support the maintainers

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[codecov]

Codecov Report

Merging #1070 (76c6a28) into main (ad0ddc4) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##             main    #1070   +/-   ##
=======================================
  Coverage   64.06%   64.06%           
=======================================
  Files         255      255           
  Lines       19963    19963           
=======================================
  Hits        12790    12790           
  Misses       7173     7173           

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[ahcorde]

@osrf-jenkins retest this please