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It writes it in whatever directory you are in. When I start in SAGE_ROOT (the Sage folder):

sage: g = Graph({0:[6,7],1:[7,8],2:[8,9],3:[9,10],4:[10,11],5:[11,6],6:[0,5,7],7:[0,1,6],8:[1,2,9],9:[2,3,8],10:[3,4,11],11:[4,5,10]})
sage: g.write_to_eps('sage.eps')
sage: ls
COPYING.txt data@       ipython/    sage.eps
Makefile    devel/      local/      spkg/
README.txt  dochtml.log ptest.log   start.log
VERSION.txt install.log sage*       tmp/

When I start in my home directory I get it there. So wherever you start Sage from, there it is! I guess that seems consistent with your other experience.