gnus-prompt-before-saving

gnus-prompt-before-saving is a variable defined in `gnus-art.el'.
Its value is

always

Documentation:
*This variable says how much prompting is to be done when saving articles.
If it is nil, no prompting will be done, and the articles will be
saved to the default files. If this variable is `always', each and
every article that is saved will be preceded by a prompt, even when
saving large batches of articles. If this variable is neither nil not
`always', there the user will be prompted once for a file name for
each invocation of the saving commands.

You can customize this variable.