Does this exist?

... will someone make it if it doesn't?

Wrye Bash does it, and i think there are standalone utilities as well. Or you can do it yourself, add

sLocalSavePath=\saves\whatever\

line to Skyrim.ini under [general] heading. The game will make all saves to "whatever" subfolder from then on. When you want to switch a character, just change the subfolder whatever2

Is this in the steam workshop?

No, as it isn't a mod. It's a tool. Please see its main thread: http://www.gamesas.com/topic/1380497-rel-wrye-bash/

No, the save game managers are outside applications, so they won't be at workshop. http://skyrim.nexusmods.com/ has tools such as it.

Dang. I guess I'm doomed to be scrolling through my list for the latest of one of my 4 characters lol.

Maybe we have a chance to get a feature like this with DLC? It's so basic it really should be included