If you want to be able to have your own template appear in Visual Studio when you add a new item to a project, this is where you will need to save it.
Visual Studio 2005 Database Projects:
C:\Program Files\Microsoft Visual Studio 8\Common7\Tools\Templates\Database Project Items
Reporting Services 2005:
C:\Program Files\Microsoft Visual Studio 8\Common7\IDE\PrivateAssemblies\ ProjectItems\ReportProject
Reporting Services 2005 wizard template stylesheet:
C:\Program Files\Microsoft Visual Studio 8\Common7\IDE\PrivateAssemblies\ Business Intelligence Wizards\ReportsStyles