I had a few questions, but I found the answers to them myself, so just posting here in case anyone else wonders the same:

1. Where should I place my *.bmp heightmaps so that Simutrans would see them and show them in the "Load Height Map" menu?
A: Simutrans heightmaps are saved in the Documents folder of your active user, usually path is in the form of: "C:\Users\USERNAME\Documents\Simutrans\maps".

2. Where does Simutrans save games (so I can work on a map - not just the height map, but the whole lot of it)?
A: Same as the above answer, except the folder is "save" instead of "maps".