Hmmmm I don't use trails, but I can't find a trails folder either..... I looked everywhere too! So, I can't help you with that I'm afraid.
Maybe you could start a new thread and ask if anyone else knows where they are kept?
Not sure if you've noticed, but when you are creating a new theme and importing the graphics into CursorFX, there is an option to change the "pressed state" of your cursors. What this means is, you can make the cursor change when the mouse button is clicked, ie: it could change color, or shape, or whatever you want.
When you are in the cursor editing window, look in the top right corner of where the cursors are displayed, and you will see some blue writing that says "View pressed state". When you click that, you have the opportunity to import changed graphics that will appear when the mouse is clicked. These are not necessary of course, but it's a chance to have some more fun with the way your cursor behaves.