Why should the sets live somewhere? :-)
In ZFC (rather unlike in usual mathematics), sets are collections of other sets. So if they do live somewhere, it's that they are abstractions over existing sets that have already been created. In other words, sets live only in relation to other sets.
You can think of sets as living in a model of ZFC as you suggest in your post, but that's imposing a metatheory (and assuming that ZFC is consistent), and it may be somewhat unsatisfying as the obvious question is where that model of ZFC itself lives (and the answer will be that it lives in another model of ZFC). So I wouldn't necessarily recommend this viewpoint, even though it's technically correct from the perspective of metamathematics (and is a view that can be adopted in model theory, when considering the model theory of ZFC).
An alternative viewpoint (which is adopted by ideas in set theory like the von Neumann universe and Gödel's constructible universe)
may be a bit more intuitive:
The idea is that sets are always created as collections of already existing sets. So in the beginning (or day 0), there is only one set: the empty set $\varnothing$.
Then on each day, we create as a new set all collections of existing sets:
On day 1, we create all collections of $\varnothing$ which don't already exist.
In particular we create $\{\varnothing\}$, the collection containing the empty set.
And this is the only new set we create; a collection can either contain $\varnothing$, or not; and if it doesn't, it's just equivalent to the empty set, which already exists.
On day 2, we create all collections of $\varnothing$ and $\{\varnothing\}$ that don't already exist. In particular, that means we create two new sets, $\{\{\varnothing\}\}$ and $\{\varnothing, \{\varnothing\}\}$. (We also get $\varnothing$ and $\{\varnothing\}$, which already exist.)
And so on. To get all of ZFC though, we also need to add the set $\omega$, representing all integers - you can either add it on day 0, or you can imagine adding it after infinitely many days and continuing.
Many of the other axioms, such as Union and Powerset, immediately hold in such a construction.
(As pointed out in the comments, some sets — in particular those created by Replacement — require more care to be handled appropriately, for example by extending the construction to all ordinals.)
If done correctly, this construction results in all sets that you need, and only such sets; that is, it's itself a model of ZFC. But it's a very concrete one, and one that may make sense to you intuitively. It also can be visualized since the new sets at each stage are just collections of the existing ones, for example, by drawing arrows from each new set into any existing sets that it contains.
It's therefore a valid mental model of some sort of "universe" in which all sets can be thought of as living.