Outlook’s default file location for attachments is Documents. This may not be where you want such files to be saved, given how large the Documents folder can get. You can of course modify this with Save As… but it would be better if the default location was your choice and not Microsoft’s. Unfortunately, Outlook doesn’t provide a setting to allow you to do that. But…
It is still possible to change the default location through the registry. First, however, you need to save a backup copy in case it doesn’t go as planned. To save the registry, at least the part you’re going to change, do this:
Open regedit by typing its name into the Run… dialog box at the Start menu (Windows key+R):

Click OK.
Place your cursor on HKEY_CURRENT_USER and right-click. From the context menu select Export.

Save the file. Now expand HKEY_CURRENT_USER until you are at
HKEY_CURRENT_USER\SOFTWARE\Microsoft\Office\16.0\Outlook\Options
Right-click and create a string value called DefaultPath and set the new location.

Click OK and you’re done. Close Regedit.
If you run into problems (you shouldn’t if you followed these steps carefully), you can restore the registry by opening Regedit again and from the File menu selecting Import…