I've had no problem doing the set-up you described using in Zmud (i.e., class folders).
CMud does some default separation of commands in the "windows" the program opens your mudding session in, which can lead to you losing settings if you end up with a differently named window next time you connect. To avoid this problem, convert your stuff to modules and when you click on the root name of the module there's a setting that says 'Global'. That's how I do most of my Cmud set-up and works.