It is not totally clear to me what you are looking at doing but I will try to offer some help here. The default folder to save out a Copy Settings Wizard file is in the "Documents" folder for your user ("Documents" as listed under the Windows Start menu). I am not sure if that is the location you are looking for. Now, if you are looking for where the settings are stored as the program is working with them then they are within the Windows Registry in this location:
The actively used settings in the program have no file where they are stored otherwise. So, you wouldn't find a file location under 'File Locations' in the SOLIDWORKS Options for these settings.
Regarding your assembly settings, if you are referring to the items listed under 'Tools', 'Options', 'Document Properties' then those settings are stored in the template files. If you had updated the assembly template with new Document Properties then these settings would not propagate to the part or drawing template(s). The part and drawing templates would themselves need to also have their 'Document Properties' updated and re-saved. This document notes all the settings that are part of part/assembly/drawing templates (GoEngineer - How to Adjust Template Settings).
"I created new settings in an assembly file and saved it with the Copy Settings Wizard to my made up folder."
Like Ryan Dark, I'm not real clear on your issue, but that statement makes it sound like you're trying to save Document Properties with the Copy Settings Wizard. That won't work. The Copy Settings Wizard is for saving System Options, toolbar setups, etc. For Document Properties you need to save the document templates. See #26 at FAQ - Part 2.