eXist stores all XML files within the database, not on the file system. The "binary" files (such as XQuery files) that it does store in the file system are maintained within the database, so you should never manipulate them at the file system level.
That being said, use the "File" → "Manage" Finder-like tool within eXide to explore the database collections (a collection is like a folder in the file hierarchy).
If your XML document is still there in eXide, hover over the tab with the XML file name and it will show you what collection it is in. If you have already closed the XML file, then create another one, hit the "Save" button, and pay attention to where the new file is being saved. It will most likely be the same place as the first one (unless you moved away from that collection in the file Manager).
Hope this helps.