Setting up specific "MY DOCUMENTS" location via group policy in server 2003???

We are running a small domain where all PCs are runnign XP Pro SP2 on a Server 2k3 machine.  Right now we have a script that maps everyone a Z: drive to safely store important files that are backed up nightly.  I would like to implement a policy that automatically makes the MY DOCUMENTS folder to the Z: Drive instead of their local machine.  I can do it at each machine quite easily, but it would be nice if I could just set a group policy to do this instead.   Is this a possibility?  

I have also considered giving everyone a roaming profile instead of local profiles.  Would this also do the trick?  Would this be a better idea than the first one?  The only cons I have heard about roaming profiles is the ammount of data that is constantly being moved from the server to workstation as people log on.  Most people log onto the same PC, but some do move around.