In my new SX110IS I cannot put Raw and JPEG in separate directory, even if I toggle the menu item, picture raw and jpeg always go in the same directory (100CANON).
It's not a bug...it's caused by a standard, see
Design rule for Camera File system 
With the "Raw file in dir with ..." setting disabled, CHDK stores the RAW files to a folder named with
the "lowest" possible name using the Canon naming scheme:
100CANONSince the JPEG files are stored also in this 100CANON folder, RAW & JPEG files are in the same folder...
After taking a lot of shots, the number in the folder name will be increased, e.g. to 101CANON.
After that, the JPG's and the RAW's will be in separat folders (RAWs=100CANON, JPEGs=10xCANON).
Maybe I need to do something manually onto SD Card?
You could do it manually, but it's easier to do it with the Canon menu:
Select "Create Folder..." from the Canon tools menu and enable "Create New Folder" there,
then leave the menu; now you see the "New Folder" sign on the Canon OSD.
After the next shot you'll see the new folder on the card, the JPEGs will be stored there.
You can also see this in the CHDK "File browser" from the "Miscellaneous" menu...
