that works for me just fine with utorrent.
I just directed the client to save the data in:
and it work without any hassle...and I don't even have the drive mapped (but that's another good soludion).
but I think I'd rather save the files locally and then move them to the cloud - I think your network could get very busy otherwise, plus your cloud will be on all the time. I'd just let it sleep (if it does sleep, not like mine :-P) and wake it up just to load it with finished file(s).