Have you tried using spotlight to see if the files are being download anywhere on your disk (rather than where you expect them to go)? If you can't find them then the best bet is to check out the documentation. webViews and webFrames have a ton of optional helper objects (delegates , dataSources etc) and maybe one of those is what you want.
I've used webKit in one of my apps in several places but I generally use it to display content my app creates on the fly internally. I've never actually had to worry about where files got downloaded to.