The EJBWizard is designed with the idea that you will organize the source code for your EJBs and supporting files for a web app in a common location. For example, if your project is a directory named "/home/projects/myproject" (A Windows[TM] equivalent would be C:\Projects\MyProject"), then the EJBWizard project files (.jjb files) would be stored in that directory and any custom template files would be stored in "/home/projects/myproject/templates".
When you generate EJBs, each EJB's source code will be placed in a subdirectory of the project. So for a bean named "Chocolate", the EJBWizard generates "/home/projects/myproject/Chocolate" and its subdirectories. Please note that upper and lower case in filenames are important in Java even when using Microsoft Windows. The EJBWizard will honor this restriction.
Custom dictionary definitions (if any) would go in "/home/projects/myproject/ejbwizard.properties"
You will probably also want to create an Ant build file (build.xml) in the project directory in order to make it possible to build all of the EJBs from a single command. You can put anything you want to in such a file. Commonly this would include a step for running Ant against the build.xml in each EJB directory.
Normally you don't need custom templates unless you are enforcing a site or project standard or otherwise want the code that gets generated to have some unique property that the standard templates don't provide.