Where are feature sets saved in ArcGIS for Desktop 10.1?

Hello,

I've recently upgraded to ArcGIS for Desktop version 10.1 and noticed that I can now save feature sets in my map documents. I seem to recall that these were lost after closing a map document in previous versions of ArcGIS. Does anyone know if this information is saved "in" the mxd file or is it saved out to another location like a file gdb?

Link to Arc10.1 Help section on Feature Sets and Record Sets
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http://resources.arcgis.com/en/help/...00000023000000

Thanks in advance for any info!
-Nick