It's your choice, you should only store the file anywhere on the filesystem and then perform a sa-learn, after that, you can delete the file again. So I would use /tmp or the roots or any other users home directory and delete it then.
zen.spamhaus.org is fine, but there are much more lists, you should consider. My set is:
zen.spamhaus.org*2 bl.spamcop.net*2 psbl.surriel.com*2 spamrbl.imp.ch*2 noptr.spamrats.com*2 escalations.dnsbl.sorbs.net*2 bl.score.senderscore.com*2 bl.spameatingmonkey.net*2 rbl.realtimeblacklist.com*2 dnsbl.dronebl.org*2 ix.dnsbl.manitu.net b.barracudacentral.org truncate.gbudb.net bl.blocklist.de sip.xxx.xxx sip24.xxx.xxx
The xxx.xxx are commercial lists, you get the FQDN on purchase from invaluement.
2 is a hard score, I use 5 and milter-reject at 7
For details you can read my advancing thread.