The best idea is to place your classes where the autoloader can find them. It is also a pseudo convention that mimics the structure of the Zend class names.
For example, suppose you created a controller plugin called "Foo". Name class
class My_Controller_Plugin_Foo extends Zend_Controller_Plugin_Abstract
and save the file to library/My/Controller/Plugin/Foo.php.
"My" ( , PHP 5.3), application.ini
autoloaderNamespaces.My = "My_"
, "" . "library" .