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?
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.