Unsaved Photoshop actions are stored in the Actions Palette:
The location of the Actions Palette.psp file can be found in locations similar to:
Mac:
/Users/username/Library/Preferences/Adobe Photoshop ??? Settings/Actions Palette.psp
If the path has changed for later versions of Photoshop on the Mac, it should be easy enough to find working forwards from the Preferences folder listed above.
Win:
C:\Users\username\AppData\Roaming\Adobe\Photoshop\???\Adobe Photoshop ??? Settings\Actions Palette.psp
C:\Users\username\appData\Roaming\Adobe\Adobe Photoshop ???\Adobe Photoshop ??? Settings\Actions Palette.psp
P.S. Change "username" for your user account name. On Windows OS, the AppData directory is hidden by default.
The best practice is to manually save out each action set individually to a .atn (action) file using the menu on the upper right of the action palette window.
Good luck!
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