It is inside the application:

To open the application's contents, use "Show Package Contents" on menu you get by right click/two finger click on the Tales of Maj'Eyal application.

Tales of Maj'Eyal/Contents/Resources/game/addons/

This is where they go, and when you restart the application you get them in the addons menu. Note, however, I am inexperienced, so I don't know much else. I haven't made any new modules work yet, I put them in the Tales of Maj'Eyal/Contents/Resources/game/modules/ folder. But they show up as "incompatible" with the present version, perhaps because those are just the ones I have tried so far.

Has just been answered here: http://forums.te4.org/viewtopic.php?f=64&t=49351

(And yes, I agree with the last post. You didn't waste money or anything due to the magic of code redeeming, but the version given onsite tends to be better with this platform.)