The default behavior, at least if you start Sage from a terminal window with "sage -n", is to store the notebooks in the current directory. If you want to change this, then: after you download Sage, from a terminal you should run "sage --jupyter notebook --generate-config". This will print a message like
Writing default config to: /Users/jpalmier/.sage//jupyter-4.1/jupyter_notebook_config.py
Within the named file, there are lines
## The directory to use for notebooks and kernels.
# Default: ''
# c.NotebookApp.notebook_dir = ''
You can change the last line to
c.NotebookApp.notebook_dir = '/Users/my_user_id/any/directory/I/want/'
and Sage will store your notebooks in that directory.