You can place them wherever you want, but a few of the functions seem to work best with absolute paths, so use os.path.abspath.
I'm not sure if there is an official list of supported file types. For sounds, various favors of wav, mp3, and caf are known to work. One would imagine AAC, and other appleish formats might work.
For images, I think you can use whatever PIL supports.... Png, jpg, for sure, probably gif, bmp, etc.
Depending on what you are doing, you may require special handling, see for example