Where should I store my purchased ReFills?

The easiest would be to store all your purchased/external ReFills in one single folder, which you could name "Reason ReFills". The ReFills folder could be placed in the "My Documents" folder on your computer, for example. Do NOT put it in the Reason folder in Applications/Programs or together with the Factory Sound Banks!

Then, in Reason's internal Browser, browse for the "Reason ReFills" folder and drag it from the Browse List and drop it in the Locations section (the left section of the Reason Browser):

This makes Reason automatically look for sounds/samples in all ReFills of that folder. This will minimize the risk of getting a "Missing sounds" alert when you open your Reason songs.