I think the sagetex files can be anywhere in your texmf tree. You just
need to run texhash after adding these there, as kcrisman said.

One thing I like to do is keep my own texmf tree in my home folder.
For example, my sagetex files are in the folder:
~/.texmf/tex/generic/sagetex

In order for this directory to be searched, the texmf.cnf file (mine
is in /usr/local/texlive/2010/texmf.cnf) must contain the following
line:
TEXMFHOME = $HOME/.texmf

Then after a texhash command, it should work fine.

I put the sagetex documentation here:
~/.texmf/doc/sagetex
and it is found by texdoc.

Good luck!

Maxim

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