If your java program require "installation" (it may be just set up some configuration files, move you binary to certain place etc), then it is perfectly fine to handle permission stuff (in what ever platform) during installation or other platform specific stuff for whatever log files, configurations, caches user settings etc. Installation usually implies user has to run the installation script/program with superuser privilege. So, you can do so.
Generally if your application store user specific data you may store it to /home//. in Linux like system and Users\ttchong\AppData in Window 7 for example (I am not very familiar in Window, correct me if I am wrong). And your code also need to handle the user path to allow multiple users have different settings of your program.
Else, if it is program information like log files that you don't mind to dump together I still prefer the way you do it now, store it with the same directory of your jar file or a little better in a log folder in the same directory by using the "installation" trick.