For years, I've been using an application called SwitchTop that allows me to create and mange multiple desktops. When I create a new desktop with SwitchTop, it moves all the files currently on my desktop into a new folder located in "~/Documents/SwitchTop Desktops" (The Documents folder of your Home folder). When I switch desktops, SwitchTop moves the documents in these folders back to the desktop. All the files are saved inside the "SwitchTop Desktops" folder and can be accessed at any time.

Now here is how I use SwitchTop with Spaces. Say I'm working with Photoshop; I create a desktop with SwitchTop and call it "Photoshop." Next, I open my Photoshop application and put it in its own separate Space. Then I select the "Photoshop" desktop from the SwitchTop icon in my Dock. Finally, if I want to go back to my original Space, I select that Space, navigate to the SwitchTop icon in my Dock and select my "default" desktop. Even though switching Spaces becomes a two-step process with this workaround, it only takes a few extra seconds to switch the desktops with SwitchTop.

If you feel Spaces should have their own separate desktops, please let Apple know about it on this feedback form.

You can download a 15-day free trial of SwitchTop here. Registration is only US$10.00.