You will almost certainly find the books in a sub directory of either /mnt/sdcard OR /mnt/extSdCard; i find that using FX file explorer (
http://www.appbrain.com/app/file-explorer/nextapp.fx) is the easiest way to find where things go if I'm having problems finding files.
And you might think about using a reader app such as FBReader or Cool Reader in place of Kindle so you don't have to convert books from epub.