Just finished re-installing macOS Sierra on my MBP and am trying to move the ~/Downloads and other folders to a different drive so they end up in /Volumes/Data/ instead.
I created a /Volumes/Data/Downloads folder and symlinked from one to the other like so:
sudo ln -s /Volumes/Data/Downloads Downloads
This works more or less, but it creates another Downloads folder inside the /Volumes/Data/Downloads folder so the full path would be
/Volumes/Data/Downloads/Downloads