In case you are worried your game's progress data is not transferred to Steam's cloud system correctly and would like to create a backup of your save files - here is where they are located by default:
<Steam folder>/userdata/<user id>/239140/remote/out/
64-bit Windows: %PROGRAMFILES(X86)%\Steam
Sierra OS X: ~/Library/Application Support/Steam/
The user id or profile name
See also: How do I know if Steam Cloud sync works?