The localizations come with the add-on in the zip and you placed in the game's add-on location.

Default Paths can vary.

PC
NA servers %HOMEPATH%\Documents\Elder Scrolls Online\live\Addons\ESOTheater\localization\
EU servers %HOMEPATH%\Documents\Elder Scrolls Online\liveeu\Addons\ESOTheater\localization\

MAC
NA servers ~/Documents/Elder Scrolls Online/live/Addons/ESOTheater/localization/
EU server ~/Documents/Elder Scrolls Online/liveeu/Addons/ESOTheater/localization/

The SavedVariables file is in a different location. Keep in mind the SavedVariables file does not exist until you use the add-on in game and logout at least once. Another slightly confusing point is the SavedVariables file are the default to the same name of an add-ons main lua file. That is how Zenimax implemented it. Warning if move that file around, you can easily brake an add-on.

SavedVariables file:

PC
NA servers %HOMEPATH%\Documents\Elder Scrolls Online\live\SavedVariables\ESOTheater.lua.
EU servers %HOMEPATH%\Documents\Elder Scrolls Online\liveeu\SavedVariables\ESOTheater.lua.

MAC
NA servers ~/Documents/Elder Scrolls Online/live/SavedVariables/ESOTheater.lua.
EU servers ~/Documents/Elder Scrolls Online/liveeu/SavedVariables/ESOTheater.lua.