You're definitely not the first to ask this question.
Microsoft has been trying to determine the best way to handle this. It's not easy because parts of this process are out of its control.
When a user double-clicks an attachment in a received mail message, it's downloaded to the Outlook temp folder and then the Finder determines which application to use and opens it. If the file is a Word document, for example, then Word can't save into Outlook's temp folder and the user receives an alert message. The user typically doesn't pay attention to the alert and just saves anyway.
The currently implementation of Outlook for Mac doesn't allow editing within the mail message itself. And because of Apple's increasing security, this isn't likely going to be allowed. With security features like Apple sandboxing and the new Privacy Preferences Policy Control, Outlook can't simply save anywhere.
Microsoft is in touch with Apple about this problem. It's really something they need to solve together. In the meantime, add your vote to this feature request on UserVoice: https://outlook.uservoice.com/forums/293343-outlook-for-mac/suggestions/11130708-change-default-save...
