Everything NMEntities reads and writes lives under plugins/NMEntities/.
The folders are created on first boot, and /nme reload re-reads all of them.
Subfolders work everywhere
Mobs/, Effects/ and NPCs/ are read all the way to the bottom, so organise them however suits you:
Folder and file names mean nothing to the plugin — only the ids inside do. MythicMobs conversion, the .mm-bak backups and the +trigger rewrite all follow into subfolders, and console messages name a file by its path (bosses/tier2/dragon.yml) rather than just its name.
Ids stay global. Two mobs in different folders still cannot share an id, and you get a duplicate warning if they do. The same goes for effects and NPCs.
Dialogs/ uses its subfolders differently — a folder there groups one conversation’s nodes. See Dialog Files.
What goes where
Files the plugin writes itself
These are state, not settings. They are safe to delete — you lose the remembered decision, nothing else.
When something does not load
A file that fails to parse does not take the rest down with it. Problems are collected as the folder is read, summarised in the console, and browsable afterwards with /nme debug — each one naming the file, the entry, what is wrong and a hint. 
