For those kind of situations you could make an installer "scrpt_inst.exe", pack it into your main installer, then install scrpt_inst.exe to temp, start scrpt_inst.exe (which would then install the scripts to a user-defined location), and finally, when scrpt_inst.exe is done, erase it. Using the right combination of settings, it should be virtually transparent to the end-user.
Alternatively, you could alter the source code of NSIS to suit your purpose.
See thread http://forums.winamp.com/showthread.php?threadid=49419
, in which we discussed allowing the user to select the START MENU/PROGRAMS/myProg location, for reasons why this can be troubling to other users. Although I argued against START MENU selection, I'm in agreement with you about the example you gave.