This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
The heap dump is usually placed in the current working directory, which for JBoss AS is the jboss_home/bin directory.
By the way, if you are getting OOMEs on permgen, just increase the permgen size. There is really nothing you can do to tune that size - you simply have to make it large enough to hold all of the classes. (Unless you wrote you own classloader...)