How do I get conda to install into a different directory (eg not my $HOME dir)?

Use the -p|--prefix flag instead of the -n|--name flag:

% conda create --prefix /soft/ciao/ -c https://cxc.cfa.harvard.edu/conda/ciao \
  -c conda-forge ciao pyciao sherpa marx ds9 ciao-contrib caldb_main
...
# To activate this environment, use
#
#     $ conda activate /soft/ciao
...

Note: To activate the environment you then specify the path rather than an environment name.