file directory for saving .cpp & .h for the Arduino IDE for short #include statement
If you think you will be reusing this code frequently, you might want to make a library as suggested by Joachim. Your library can then be added to any sketch you write using a #include statement. 

The arduino website has a nice guide on writing libraries, check it out here.

If you would just like to include your header file in a sketch without writing a library, placing the header file in the same directory as your sketch should compile if you use #include "header_file_name.h".