if you haven't customized the location where they will be saved it should go to where all other launch config files are saved - in your .metadata/plugins/org.eclipse.debug.core/.launches
In my workspace/.metadata/ there is no plugins/ folder.
However under eclipse/plugins/ there is a org.eclipse.debug.core.jar. But this is a jar file.
it.s .metadata/.plugins (I was missing a dot at first)