What I currently do is I link the project to another location and give it the same name, then check the box where it says \"Branch after share.\" And then I would Check out
You can find a good reference here: http://www.codepool.biz/version-control/sourcesafe/branch-in-sourcesafe-vss.html
Basically right-click-drag your folder to where you want a branch, and when you let go you are given share/branch/recursive options.
Shudder.