Say your user name is "ariel". Then the default download directory on a Mac is "/Users/ariel/dwhelper".
There are several ways to change the default directory if you want your videos to go somewhere else.
One thing you can do: after your downloaded a video, reopen the VDH main panel, move the mouse over the downloaded video entry, a "..." sign appears on the right click on it, then pick "Open container folder". This should open a finder window on the correct directory.