Ensures the given path is created. For Mathematica 7+.

EnsurePath.m

(*
 * Makes a directory tree.
 *)
EnsurePath[path_String] := Module[{names, cd, p},
  names = FileNameSplit[path];
  cd = {};
  While[Length[names] > 0,
    AppendTo[cd, First[names]];
    names = Rest[names];
    p = FileNameJoin[cd];
    If[!DirectoryQ[p],
      If[CreateDirectory[p] === $Failed,
        Return[$Failed];
      ];
    ];
  ];
  path
];

It turned out that If[!DirectoryQ["path"],CreateDirectory["path"]] is enough due to the default setting CreateIntermediateDirectories->True.