I would say put the sql where you would have put the equivalent LINQ query, or the sql for DataContext.ExecuteQuery. As for where that is... well, that is up to you and depends on how much separation you want.
However, personally I see no benefit hiding the SQL in a separate class away from the Query<T>
call - you want to see them in context so you can easily verify the data (and indeed, the parameters). You might also be constructing the query (still parameterised) in situ. But for a regular static query I would keep the TSQL as a literal near the code, unless I have good reason to need it abstracted, i.e.
var reports = conn.Query<Report>(@"
select x.blah, y.blah
from x (snip)
where x.ParentId = @parentId and y.Region = @region", new {parentId, region});
(note also the alternative extension method usage in the above)
IMO, the key in the above is that it is extremely unlikely that you would ever re-use that query from any other place - the logic would instead be put into a method, and that method called from multiple places. So the only other reason you might use to hide the query behind a central wrapper is if you need to support different database providers (with different SQL dialects). And that is rarer than people make out.