Where is the sage save or load dir and how do I change it?

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If you do os.chdir(...) and then os.getcwd() in the same SageNB cell, you will get the expected answer. Each cell seems to set its directory separately. In any case, when you are using save, load, etc., in SageNB, then use absolute paths: save("/home/jim/.../file") rather than just save("file").

There is a huge difference between what sagenb and Jupyter do here. Jupyter behaves more or less as normal for applications that save external documents to a hard drive. Sagenb was designed to remove that layer from the user, especially in server situations.

On your computer, usually in your home directory, there should be a folder called .sage. Inside of this will be the directories for various metadata, including the Sage notebook worksheets. Usually it is called sage_notebook.sagenb though sometimes people might give it other names. Here is my listing:

$ ls .sage/sage_notebook.sagenb/home/admin/
0       154     27      336     51
100     156     278     337     53
101     157     28      338     54
102     158     281     339     55
103     159     284     340     58
104     16      285     341

So as you can see each worksheet is a numbered folder in the home/admin subfolder. Other users would have other names.

Edit: Another option if you are specifically wondering about files is to use the "Data..." drop-down menu which attaches files to the worksheet itself, then you can use the DATA variable to access them.