You can put it wherever you want, but you have to specify it to the loader with the setPath method.

Code:
Ext.Loader.setPath('Ext.ux', './src/ux'); // All the Ext.ux.* classes will be searched in ./src/ux

Ext.Loader.setPath('Ext.ux.exporter', './something/exporter'); // Only the Ext.ux.exporter.* classes will be searched in ./something/exporter'