What you get
A plain text .sfz file next to the WAV files it maps.
Kit Name/ Kit Name.sfz Kick 01.wav Snare 03.wav ...
SFZ is a text format. You can open the file in any editor and read the mapping, which makes it the easiest export to check when something looks wrong. Each region names its sample, its key range and its velocity range.
Where it goes
Nowhere in particular. SFZ players load the file from wherever you keep
it, so put the folder somewhere in your own library and point the player at
it. Keep the WAV files beside the .sfz.
Players that read it
SFZ is an open format with several independent implementations. Plogue sforzando is free and is the most common way to audition an SFZ on a Mac. sfizz is open source. TAL-Sampler and a number of hardware and software samplers import SFZ as well.
Why this export is useful even if you do not use SFZ
SFZ is readable, so it is the fastest way to confirm that the grouping and the key mapping came out the way you expected before you commit the same instrument to a binary format. If the SFZ looks right, the EXS24 and MPC versions of the same instrument will be right too.
The format itself
This guide covers getting the file onto your sampler. For what is
actually inside a .sfz, what else reads it and where its limits
are, see the SFZ instrument format.