If your looking for Steinberg VST Sound Archive files their located (Windows 10) C: - ProgramData (view hidden files must be turned on) -Steinberg - Content - VST Sound. You can copy the file here, also create a folder that contains the files. ie; create a folder named VST Sound - Engine Roar, place the file or files in the folder.
In Halion base level the folder Engine Roar will show and you can select the sample. Also a nice way to organize sound files into sets.
Hope this helps.