Preferred Location for cgi executables in Lion Server
OS X being an unix-based system, you may use the standard unix file structure for that. 

Generally speaking, most unix/linux distros use /var/www/ for web server storage, you could imagine something like /var/www/html for pages and media and /var/www/cgi-bin for cgi executables. 

There are others locations available (/srv for example), see this list on wikipedia for an explanation on the directory structure (if needed)