You haven't given enough information to adequately answer your question about loading wordlists. For the most part you can store things wherever you want on your hard drive, but you'll want to know where so you can retrieve or use it when you need it.
My recommendation for information on both acquiring a handshake and wordlist management is to read up on the particular tools you intend on using, and also the technologies involved. Some reading will teach you about WPA and why you need a handshake. It's important to understand how technologies work in order to effectively use the tools to exploit them.
You'll find info all over the forum and the interwebs.