I'm coming to this a bit last, so apologies if I'm missing something here.

Citrix roaming profiles are no different to standard NT roaming profiles.

Create a (single) share for your profiles on your file server called say "\\myserver\profiles$". Assign permissions so that your system accounts which will read/write the profiles have full permissions. Set your users' profile en-masse to be "\\myserver\profiles$\%USERNAME%"

The system will look after creating the directories, you don't need to worry about it.

[edit]
Whoops! missed the "create automatically" bit. Bad idea. Really really bad idea. Just don't do it.
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Edited by Richard H. (2003-12-08 03:22 PM)