Hi @rickcarl,
Typically the best option is to store your media wherever you would normally keep it, whether that be on an internal drive, an external drive, or on a location over the network. You can then add that location as a watched folder in Roon by going to Settings > Storage.
Please note that there is currently an issue with Catalina that we are working on that will affect this until the issue is resolved. Please see this post for more info on that: