Create directories explicitly

[traylenator]

Building with make -j N for N>1

often resulted in:

Fatal error: can't create obj/oidc-agent/agent_state.o: No such file or directory
make: *** [Makefile:395: obj/oidc-agent/agent_state.o] Error 2
make: *** Waiting for unfinished jobs....
Assembler messages:
Fatal error: can't create obj/oidc-agent/daemonize.o: No such file or directory
make: *** [Makefile:395: obj/oidc-agent/daemonize.o] Error 2
Assembler messages:
Fatal error: can't create obj/oidc-agent/http/http.o: No such file or directory

especially with newer versions of GNU Make, for instance 4.4

This patch makes the directory creation for object files more explicit. There are other ways to resolve this for sure.