By default, all your backups are stored in SideNotes data folder (you can access it by Preferences → Data → Open Data Folder.) However, you can choose any folder for backups. We recommend to set some cloud-synchronizable folder like iCloud Drive.
To change the backup folder go to Preferences → Backups. You'll see Backups Location section. Click Choose button and select the folder you would like to keep your backups in.