There may very well be the same kind of keystroke available here, but I really don't know about it, this is the only way I can see how to move my macros. If someone more familiar with FFXI tries it and finds out how to save the macros server-side, by all means let me know.
I don't think it works in FFXIV or else they would of tell us already.
But anyways... in FFXI, you go to character selection screen, then press and hold:
To save (Backup)
ctrl + shift + alt + B
To load (Read)
ctrl + shift + alt + R
Or search for more info here:
http://support.na.square-enix.com/main.php?id=20&la=1
And thanks for the hint Freyar. Now I understand that this My Games folder is very important as it holds all our configuration, saved characters looks, torrent updates, etc.