To put them into the ~/Library/Application Support/iPhone Simulator/User/Applications/ subfolder (where they would end up if they were on a real device), you could use the following piece of code in your application:
+ (NSString *)dataFilePath:(NSString *)filename {
NSArray *paths = NSSearchPathForDirectoriesInDomains(NSDocumentDirectory, NSUserDomainMask, YES);
NSString *documentsDirectory = [paths objectAtIndex:0];
return [documentsDirectory stringByAppendingPathComponent:filename];
}
This will put the file in the /Documents/ folder of your application's sandbox.
You can then find the file back at: ~/Library/Application Support/iPhone Simulator/User/Applications/ Application GUID /Documents/
Good luck.