I have successfully extended the CI_Controller class by creating a MY_Controller.php which I have placed in the application/core directory.
core/My_Controlle
What you're doing is correct. You just need all of these files in the application/core directory. Here's a post by Phil Sturgeon regarding just this:
http://philsturgeon.co.uk/blog/2010/02/CodeIgniter-Base-Classes-Keeping-it-DRY
http://philsturgeon.uk/blog/2010/02/CodeIgniter-Base-Classes-Keeping-it-DRY/
The trick is to use the __autoload() function - which Phil describes in his post.