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Where are your Scratch Disks set to in Edit>Preferences?
By default your captured files are stored in the same directory as your project file.
That should also appear in your Project media panel -- which is under the Organize tab in version 8 and under the Edit tab in earlier versions.
Click the Project button and you'll see your captured files.
Aha! They're not in the Project panel, but I've found them in the file where the project's saved. I'm not sure why they've stopped appearing in the project timeline though. Thank you both XX
If you've got the option to Capture to Timeline checked, they may well still be capturing to the timeline. But, because of the CTI's position, they may be appearing on upper video tracks. (You'll know because you'll see a green check mark next to the clip's listing in your Project media panel.) Scroll up your view on your timeline and you should see them.