Add checks in rock_setup to make sure directory exists.

[Johnathon]

Although not officially supported, if we added some checks to make sure the directories existed when trying to write out files we would be one step closer to allowing git clones to work. This issue here is that I am cloning rock onto a RHEL box as there is no RHEL iso. When trying to write the config file from rock_setup it fails because the directory structure does not exist yet.