If I am running gramps, and I load a gedcom file in - where does it put the data file? If I load more than one, where are they?
By default, Gramps uses
~/.gramps/grampsdb/, as Duncan says, but if this setting has changed you can find out the new directory by going to the Edit menu, then "Preferences", then second tab ("family tree").
Gramps creates a hidden directory in your home directory called .gramps containing all the user-specific data. There is a directory in that directory called grampsdb (eg /Users/yourname/.gramps/grampsdb) that contains all your data stored in individual directories for each family tree.
Since this is a hidden directory, it won't be observable with normal finder settings but can be looked at using terminal.
On a Mac, you'll find the hidden Gramps directory here:
for Gramps version 3.4.