If you use the gem inside /opt/chef/embedded/bin/gem
to install things, it stores them by default on the local file system in
/opt/chef/embedded/lib/ruby/gems/1.9.1/gems
As to whether using this gem utility is wise or not, @sethvargo certainly knows more about chef than me, but I've been using it to install "chef" related things like test-kitchen and so far so good.
You certainly need to be a bit careful with this since you can easily break chef with the wrong gems. But it's very handy to have a single ruby path with all the chef goodies installed for testing and development.