Unless something has changed, they're saved wherever the C:\ is mounted. In Boxer, that's typically the folder with the .boxer extension appended to it (so it looks like a double-clickable file). In DOSBox, you have to mount C:\ manually through your config.
Yup.
The DOS games can't see anything other then the folders you've mounted as disk drives (this happens automatically in Boxer, see above). 99% of the time you'll have installed the game to a virtual C:\, so that's where the saves should go unless you entered in a different save file path if your game gives you that option (and again, DOS games can't see your Macintosh's disk drive or filesystem- they can only see the mount points you've setup or the emulator setup for you, so those are the only possibilities to save games to).
-SC