No you don't need a MyAI folder, Rubidium only assumed that you were developing your own AI

It is OK to put the .tar files of AIs into the /ai directory, and the library .tar's into the /ai/library directory.
Most AIs don't support your old version though, so you should either find an AI which is written to work with the 0.7 API (or simply an older version of an AI which doesn't support it), or upgrade your OpenTTD. AFAIK newer OpenTTD versions are fully backward compatibile (except for some NewGRF-related things), so upgrading shouldn't be a problem. If you're unsure about this, simply download a .zip of the new version, so that you can try if it works with your savegames. Just be sure not to overwrite your old openttd.cfg.
Older versions of AIs are available for download somewhere if my memory serves right, but I don't know where, a few minutes of searching weren't enough.