Where ST depends on your OS/install type. Click on the Preferences menu > Browse Packages. This will take you to the folder where manually installed packages live. There should be a User folder in there. As the name indicates, it's recommended you keep your settings in the User folder. Now you only need to backup your User folder to keep all your custom settings.
There are instuctions floating around the web on how to "sync" various machines by sharing the User folder via Dropbox.
Hope this helps,