C:\Users\%username%\AppData\Roaming\To the Moon - Freebird Games
It is probably in a folder named "FreebirdGames" or "FreebirdGamsave" in your user's Library/Application Support folder.
Recent versions of OS X hide the user's Library folder, but you can get there by for example:
— Press Command-Shift-G or "Go> Go To Folder…" while you are in Finder.
— Enter "~/Library/Application Support/" without the double quotes (Don't forget the ~ at the start or you will go to an entirely different folder).
— Look for a folder named "FreebirdGames" or "FreebirdGamsave".
Credit for the Mac location goes to http://steamcommunity.com/app/206440/discussions/0/630802979441286483/#c630802979646570568