There was a valid, but ignored, linter warning about a deferred close in
a loop. Extract a method so that the defer can exist in a more narrow
function scope, instead of each defer accumulating as the channel is
iterated.

While here, only call os.MkdirAll once at the start, instead of
repeatedly with the same arguments on every chunk encountered. Also
distinguish the wrapped error message when closing the chunk file vs.
the incoming chunk body.