Where does the flux go when desoldering?
Flux's job is to clean copper by removing impurities so that solder can properly wet (think "adhere"). When desoldering, you should apply flux to whatever the solder is supposed to wet to. If you are using a copper desoldering braid, then apply a bit of flux to it.

It can't necessarily hurt to apply a little bit of flux to the solder blob as well, if just to help clean it, but the main idea would be to ensure that the solder does not have a coating of dust or other residue on it, such that the iron will make good thermal contact and heat it up properly.