All of the custom files for W:A should be somewhere in the User subdirectory:
Maps go to Saved Levels
Schemes go to, well, Schemes
Sound banks to Speech
Flags and Graves to Flags and Graves
Victory sounds to Fanfare
W:A will automatically generate replay files of each game you play (including even the training missions) and they will be stored in the Games directory (again in the User subdirectory of W:A). If you're in need of logs, they are also generated for the game lobby.
You can make subdirectories so it's easier to find schemes and maps (considering the large available amount of both of those, it's highly recommended that you do that right from the start to save you the trouble later).
There's an unofficial wiki page on the 2-D worms series online:
http://worms2d.info/Main_PageIt has all sorts of information on just about anything you can think of: worms history, scheme information and the like