I do recall some message when I first started PC about it finding costumes and option files, but since I had none (having done a clean install of all the stuff) those options were greyed out. Is there a way to get that option back?
That is just for finding the issue 24 files in order to load the data. It also offers to
copy your costumes into the Paragon Chat structure for it. Changing where it points won't change where the costumes are saved, since 1.0 treats the COH installation as strictly hands off and does not save any files there.
Currently the only way to do what you want is the symbolic link trick. In the future an option may be added to customize the layout, but the goal was to eliminate any confusion about where files like that needed to be placed since lots of people have several different COH copies thanks to blindly installing things like Tequila.
The biggest challenge is that the COH client itself doesn't let you customize that.
Though I guess I should go ahead and ask why you would want to create costumes in Icon and move them over. I could see going the
other way -- saving costumes from PC and using them with placeable NPCs in icon for screenshots. Costumes with NPC parts can't be loaded in PC.
If you just want to create characters without network connectivity, you can use Paragon Chat in offline mode (add -offline to the command line). You can save the costume files for later, or just go ahead and create the character and then use it later when you have a network connection.
The long term plan is for Paragon Chat to be able to do everything that Icon can while in offline mode. The new client tech started life as Icon 2.0 before it was scrapped, then resurrected.