as of 4/2015 OS X Kindle App: Where are the books located?
Kindle.app now uses the Apple Sandbox functionality.

This means that it can only affect and see files in a subdirectory under ~/Library/Containers. The .azw files are in ~/Library/Containers/com.amazon.Kindle/Data/Library/Application Support/Kindle/My Kindle Content

This directory is shown in the Kindle app in Preferences->General as the value of Content Folder and it appears that this can be changed there.