If you are using the Hierarchy Editor to create the figure, the obj geometry will initally be saved interlally in the cr2 as 'geomCustom' (internal geometry). If you then load the new figure in Poser and save it back to a palette, Poser will write an external obj, and place it in the same folder as the cr2 you saved.

If you want, you can move the obj file under the geometries folder, and edit the cr2 to reflect th new location of the obj. There are two lines in the cr2 that you need to edit, both begin with the word "figureResFile". The rest of those lines is the path to the obj file, using ":" as a seperator.