If I had to, I suppose I would create a new file/file descriptor near the beginning of your script and redirect the stderr descriptor to it. I'd just write it to $SPLUNK_HOME/var/log/splunk/. The environment variable $SPLUNK_HOME should be available in your script when it is called by Splunk. You will need to do stuff like add your own timestamp to each line, as the output won't be captured and prepended by Splunk. A big disadvantage here though is you won't be rotating or cleaning up your own log without a lot of work.
What I'd really do is, I'd leave it in splunkd.log and just make sure the beginning of my logged stderr output line have the name of my script so I can find and filter them easily in Splunk itself.
