Extract from DB2 to SQL Server - where is the data in between the two servers?
It depends where the SSIS Package is running, but yes the machine or server it's running on is a passthrough between your DB2 server and your SQL server. So the data is loaded into memory of the machine where the SSIS Package is running on, and if you're using certain data transformations and variables, those consume additional memory on the SSIS server also.
This article goes a little more in depth and has good information on the memory consumption of SSIS.