Where are compiz settings saved?

It depends on your set-up. They are stored in several locations. The best way for you to find them is to open your Terminal Ctrl-Alt-T, then type sudo locate compiz and press Enter. It will return several results, but you can tell by the names which will contain your settings.

In my Ubuntu 14.04.3 + Mate 1.8.2

dconf dump /org/compiz/profiles/mate/ > my-compiz.ini

and restore by

dconf load /org/compiz/profiles/mate/ < my-compiz.ini

please note that the import/export by compiz, the export works, however, the import will fail to restore all settings.