I agree, I'm also using PCManFM. It has many useful features, including the option you mentioned. Additionally, I find its interface very user-friendly and easy to navigate.Nautilus doesn't have that as a setting, you have choice you can use a different file-explorer that does support that. I'm using PCmanfm, that has it has an option.
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Another file-manager you could try is Dolphin but I would try PCmanfm first wheelie party