Well, as we say in Italy, I will sing this song and play it as well.
I asked at dottore, it is pretty easy but I think it is worth to share it.
Fill the “path” field (you can find it in the inspector of a dx11 shader) with C:\the\absolute\path\of\the\shader.fxc that is the absolute path of the shader but changing the extension in .fxc (c stands for compiled), then bang the (hidden) doSave pin.