https://www.gog.com/forum/batman_arkham_series/copyconvert_steam_saves_to_gog

For Knight, it will be where you installed it in a parent directory, under BMGame\SaveData\

For Asylum, check

%USERPROFILE%\Documents\Square Enix\Batman Arkham Asylum GOTY\SaveData\

For City

%USERPROFILE%\Documents\WB Games\Batman Arkham City GOTY\SaveData\

Origins

%USERPROFILE%\Documents\WB Games\Batman Arkham Origins\SaveData\


For the Steam saves, you'll need to locate them in your Steam install directory under \userdata\*your Steam username*\*game's appid (a number string you can see in Steam store URLs for each game like 2xxxx)\