WM 2.2 has a new install where it gives suggested paths for folders like Macros. You can customize these paths during the install. I happened to use c:\GRAPHICS\WorldMachine which was already present and it created "World Machine Documents" with Macros, Presets, and Examples as subfolders.
Not sure what the default path was, but if you find "World Machine Documents", you should see "Macros" off of it and that's where the macros go (at least on win platforms.)
[edit] sorry Seth, guess I was posting at the same time you were.