Hmmm, well mate, technically pwede mong i-convert ang private keys into different formats for storage - like Wallet Import Format (WIF), hexadecimal, or even a QR code.
Pero usually, hindi mo makikita ang private key as a specific file sa device mo. Instead it's securely stored within your wallet software.
Always remember though - no matter how you store 'em, keep those private keys safe! They're the only way to access your bitcoins.