Loaded Action-sets you can save to wherever with »Save Actions« from the fly-out menu.
Otherwise look in the Presets/Actions folder in the programm folder and
~/Library/Application Support/Adobe/Adobe Photoshop CS6/Presets/Actions
with »~« signifying your user.
If you use one of the Mas OS’ where Macintosh deemed necessary to hide Libraries from their users (and let’s better not get into the reasons for that decision) alt-clicking the Finder’s Go-menu item should let you navigate there.