Anywhere. If it's a self-contained launch-able directory it shouldn't matter where you put it.
This is a mentality some developers follow. You have the application directory and the working directory, you are free to choose where both are located. This for example makes it easy for you to port the application using USB, or any other types of portable use case or where you organize your file system differently.
You can choose something under ~, or perhaps store it in the /opt folder which is meant for Options. This is generally for platform-independent things, most often used for configurations and files that are shared between users and distributions on one machine.