The exact details are platform-dependent, but there's a "Save" folder with your saves for each game. Or variants such as "SodSave". On Windows, it's under "My Documents/[Game Name]". On Mac, it's under "Documents/[Game Name]".
Character files - those things you can import when you start a new game - have their own folder in the same place.
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Character files - those things you can import when you start a new game - have their own folder in the same place.