Store EDD files in custom directory

You can store files anywhere you wish. Simply upload them to the server and then enter the file path on the product edit screen.

Yep, but I wonder if there’s an easier way to do it, fox example via defult Uploader. I mean, I just need to change directory, the rest works really good ??

Take a look at how we do it here: https://github.com/easydigitaldownloads/easy-digital-downloads/blob/master/includes/admin/upload-functions.php#L16

If you’d like to change the default directory, you will need to do it similarly to that.

Okay, but what should I do?
Paste something in functions.php of my child theme?

Please add it to a custom plugin. You can use this plugin to create one: https://www.ads-software.com/plugins/pluginception/