It's simpler than you expect. They are inside the catalogue file - the ivc file. Thumbnails are always stored there, as is the data. Previews depends on a preference - by default each time you go to media view EM regenerates the preview from the actual picture file, wherever it may be, but there is an option (which I don't recommend) for storing previews inside the catalogue itself.
In Application Support you will find things like preferences, vocabulary editor files, metadata presets. but fundamentally everything you need is in the ivc.
John