Well it might depend what operating system you're using but I put mine in the sub-directory "samples" under the LMMS working directory set up in the Paths screen of the Settings option....so in my (Win 7/Win 8.1) case C:/Users/username/lmms/samples. That way they will show up in the "My Samples" list.
But you can actually put them anywhere. It just makes it easier to navigate to them if they're in "samples".
Steve