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[Note: My response is pretty thorough because I don't know your level of understanding regarding app bundles or the structure of your iPhone app's sandboxed little world - apologies if I cover things you already know - I prefer to write a little too much than too little, and to add a bit of the why when discussing the how...]
You have a few options (of course). I'm assuming you're already familiar with .Net to some extent and that your question is more about how to do this the iPhone Way.
Every iPhone app (and you'll see the same thing for apps on OS X) is a "bundle" which isn't an executable in the traditional sense, but actually a folder hierarchy inside of which your app binary lives (along with resources, settings, etc.).
Because of how uber-sandboxed iPhone apps are, you don't have access to the shared folders you'd usually be able to use when doing desktop development (having, for example, a common Documents folder that lives under a user's home folder to which applications have access).
Instead, your app has its own folder hierarchy that's like its own personal set of the folders that would typically be shared across apps.
The easiest way to see what your app's folder structure looks like on the phone is to look at the folder the iPhone simulator uses for app installs, settings, blah blah blah. On my machine (I don't recall if this is configurable, but it's probably the same on your system), you can get to the folder by this path:
~/Library/Application Support/iPhone Simulator
Inside of that, there's a User/Applications folder that contains the apps you've installed to the simulator. Drill down into any one of those folders, and you can see the folder structure your app will have access to on the phone.
For storing files that you'd like persisted across app sessions, your app's Documents folder is the spot. It's not your only choice for creatin