Does the word "polymorphism" refer to the gene, the phenotype, or both?
The term "polymorphism" itself is more generally defined as "the quality or state of existing in or assuming different forms" (Merriam-Webster dictionary). So I guess semantically, it would be correct to say that there is polymorphism in a gene that can occur in different allelic variants, or polymorphism in phenotype because of variant traits (such as sexual dimorphism).

However, when biologists today speak of polymorphisms, often they refer to variations at the level of individual nucleotides (single nucleotide polymorphisms or SNPs; some people use the terms polymorphism and SNP interchangeably). These SNPs have become popular for genotyping and for correlation with a variety of diseases or other observable phenotypes.

And regarding the bonus question, I think "polymorphism in" is the most correct usage--it's definitely the most widely used. For example, you could say "there is a polymorphism in nucleotide 257 of..." or simply "there is polymorphism in nucleotide 257 of..." or even "nucleotide 257 of ... exhibits polymorphism".