By default Zzip stores the zip (7z) files in the same location as the source file or folder.
If I zip the file C:\WORK\FRED.DAT, I get a zip file as C:\WORK\FRED.7z
If I zip the folder C:\WORK\BILL, I get a zip file as C:\WORK\BILL.7z
So unless you have chosen to do otherwise you could have 7z files all over the place. Although from you posting maybe you just have them on the desktop.
In any case if you copy (or move) the 7z files in to your Documents it should get backed up along with everything else there.
BTW, what are you using for backups?