By default Snapz writes the temporary file to your ~/Library/Containers/com.ambrosiasw.snapz-pro-x/Data/Library/Application Support/Snapz Pro X/Recordings/ folder. This location can be changed easily in in your Preferences.
Please note that your Library folder is now hidden by default. To access it, open the Go menu in the Finder and hold down the Option key. You'll see Library appear between Home and Computer.