iw is supposed to supersede iwconfig in configuring wireless devices.
It is provided in Slackware but not (yet) used in configuration scripts.
Anyhow, as iwconfig, iw relies on /etc/wpa_supplicant.conf to configure encrypted wireless connections.
IOW, somehow /etc/wpa/supplicant is to iw what lilo.conf is to lilo.
So to answer directly your question:
I wanted to know where the output of iw reg set goes to and find a way to permanently set my wireless regulation standard to BO instead of US or whatever it is listed as in whatever file it is.
1) I don't know where output of iw (nor iwconfig) goes but it should probably feed some tables in RAM (as for instance the rules you set up with the "iptables" command do)
2) To permanently set up your wireless regulation standard to BO instead of US (which is the default, by the way), just edit /etc/wpa_supplicant.conf, so that it includes this line:
EDIT As "modinfo cfg80211" shows, alternatively it should be possible to set the ieee80211_regdom parameter of the cfg80211 module in /etc/modprobe.d/something.conf as an option but I didn't see it recommended anywhere.