Comment by kcrisman for (Edit: I originally thought that there wasn't a file walk.py, but I think that's wrong.)Look in $HOME/.sage/temp/DIR0/DIR1/ where $HOME is your home directory, DIR0 has a name like $HOSTNAME and DIR1 is a number, the process id of the Sage process. This directory is deleted when you quit Sage.If you want to produce a more permanent file walk.py, then from your shell prompt, run sage --preparse walk.sage. This will produce walk.py in the current directory.

Also, I wonder if sometimes it *does* create walk.py in the proper directory. At least, I have some .py files I didn't create that are in the same directory as the .sage files I use for my research. But I always have to call them with the full /path/to/file.sage, so maybe that makes a difference as opposed to rtwalker's use case...