Yep, you can put them wherever you want. Here's 4 I have just sitting somewhere in my Documents folder on my Mac. I can just move that file anywhere, double click it, and VMWare will fire up just fine. virtualBox pretty much works the same way.

(Technically these are all folders, and they contain a file to represent the virtual hard disk, log files, some setting files, and a RAM snapshot if it was suspended. On OS X, VMWare chose to make the folder into a container to make sure people move everything needed at once).