If you put the GSX.CFG in the Airplane folder, when you modify it (using the GSX integrated editor, of course) a COPY of it will be saved in the %APPDATA% folder, and this will take precedence over the one in the Airplane folder.
This because, as explained on the GSX manual, it's possible to *read* from the Airplane folder (which is under the FSX main folder), but if FSX has been installed in the default folder ( under C:\Program Files ), UAC will prevent to *write* there, and since the correct location for user data for any program, according to MS guidelines, is under %APPDATA%, GSX saves any modification there.