Anywhere you'd like, it's a temp location, not necessarily anywhere specific. I put mine in:
/home/packages
OR
/usr/local/packages
Depending on my system
As for removing them, if you've got a lot of space, you can keep em, however it's not necessary either. I do, I've got the room, and I like to be able to easily find out what version I installed, plus if I need to re-install or whatever, no need to re-download.
Cool