Whenever I create a new wing file in the wing IDE interface, I find the "run code" (play symbol) button is greyed out and I can't click it unless I save the file somewhere on my computer. It didn't used to to this.
This is annoying because it forces you to save every single code you write even if it's just 5 lines you've written to test something out.
I can't recall exactly when the button changed, I didn't notice it immediately. But I've updated both my wing IDE and python to the latest version. I've also shifted the directory that I keep all my python saves in, but I can't see why that would matter.
I've taken a look through settings, but I couldn't make much sense of it. I'm new to programming.
Wing has never been able to debug an unsaved file.  I suspect you used Wing 101 previously and now use Wing Personal or Wing Pro where the toolbar buttons are a bit different and run things in the debugger instead of evaluating in the Python Shell.  
You can still evaluate the file or a selection in the file in the Python Shell using the items in the Source menu.  As of Wing 6 you can also debug things you execute in this way by enabling debug in the Python Shell's Options menu.
You can also select a range in the file, click on the active range icon in top right of the Python Shell to make it the active range and then use the cog icon that appears in top right of the Python Shell whenever you want to reevaluate the range as you edit it in the editor.
Wing ide "run" button is greyed out unless I save the file