Just bookmarking this:

1. In the same directory as the calling page – while this is easy for demonstration purposes, it’s not very practical, as it means that the custom tag is only available within that directory.
2. In a directory (or subdirectory of a directory) specified in ColdFusion Administrator under Extensions -> Custom Tag Paths.
3. In the cfusion/CustomTags directory or one of its subdirectories.

– CF tutorial