Actually, you probably do need to pay for it twice. When you 'bought' it, you (presumably) payed for a single licence for a single device.
Regardless, on OS X Leopard, it should be in:
Library/iTunes
Windows XP:
C:\Documents and Settings\<Your Windows username>\Application Data\
Apple Computer\iTunes\iPhone Software Updates
And in Vista/7:
C:\Users\<Your Windows username>\AppData\Local\Apple Computer\iTunes\
iPhone Software Updates
On the other hand, to see where the iPod touch and iPhone applications are, just right click one and select 'Show in Explorer/Finder'
Thank you for your answer and your edits which you made you for my question! – Léo Léopold Hertz 준영 – 2009-07-24T14:16:16.733
But if you find the .ipa, can you install it on another device magically? (I haven't tried.) – jtbandes – 2009-07-25T17:01:32.500
Jt: I think it will work, but I am not 100% sure – Josh Hunt – 2009-07-25T23:41:56.530