I usually dump all of my widgets in the silverstripe folder which makes a bit of a mess. I tried putting them in a /silverstripe/widgets/ folder but SS couldn't find them in there.
But! I recently discovered that you can stick them in mysite/ and even in mysite/widgets/.
I prefer the latter - nice and tidy.
In fact SS seems to go on a little hunt through any old folder you create in mysite, so, should you feel inclined, you can probably rearrange other stuff too.
The downside to this is that you can't have an codeOld folder in mysite for example because SS will load that code too.