To confirm if you message is correct or not, refer to Fiximate.
Check what are the required fields in the message and if they are present in your message or not. If any non required fields are present, are they relevant for the message or not and if their dependent fields are also present in the message. For some fields, values are predetermined and should be in you XML config, and check whether the values in the FIX message match what is there in the XML config.
The files are for your use, not for the FIX engine. The engine creates a FIX message, a string, and sends it across and receives a string and parses it. The files will only be on the server/database where the engine is running or configured to write onto.