When I "Build for archive" in Xcode 4, where does the file go?
It depends on your build location goes (see Xcode > Preferences ... > Locations).
Note that "Build for Archive" doesn't archive your work in the "Archive Location" you enter there ... it just builds it as if it was being archived (so with the same pre/post-scripts being run, the right Configuration, and in your normal building location). To actually archive your work, you need to select plain old "Archive" instead of "Build for Archive".
Hope this helps.
For fast direct access to an individual archive, in Xcode's Organizer window, go to the Archives tab, right-click an archive, then "Show in Finder".