All files will be downloaded to the internal storage of your device by default. But if your phone has an SD Card you can change the default download location of your files to the card as well.
To do so, go to Settings > Select Storage Location
WARNING! All files downloaded by FrostWire into the SD Card will be deleted by ANDROID if you uninstall FROSTWIRE. Please move your files to another location using a file browser before uninstalling. See here on how to back up your data.
All downloaded files will also be deleted if you go to your phone's Settings > Apps > FrostWire and select CLEAR DATA. (Clear Data option works the same as deleting and installing your application again, hence the downloads will be deleted just like if you would reinstall the app. Clear Cache will not delete your data).
This warning might not apply to you if your FrostWire saves your files to SD Card/FrostWire folder. Your device is then not under the SD Card access rules Google has implemented in the first place. If you do have this folder and you've been using FrostWire for a while, please make sure your newly downloaded files get saved there, not to the path below (which would mean you updated your Android while using FrostWire and the path has changed).
If you are downloading to an SD Card and your device has the new(ish) Google SD Card assess rules implemented, your downloads on the SD Card will be in:
SD Card/Android/data/com.frostwire.android/files/FrostWire and will be 100% affected by the rule.
FrostWire will present a notification in Transfers to remind you about it.