There really is no standard way in linux. A lot of programs, especially the new python programs I've seen, use ~/.config/appname/ . Of course, older ones like bash, vi, etc. Just add the hidden file to ~/ . It depends on what these settings are.
This is obviously a user launcher. System programs usually store their configuration files somewhere in /etc/
Edit:
~/.config/appname/ seems more standard than I thought.
~ $ ll config
total 84K
drwxr-xr-x 2 falmarri 4.0K 2010-12-17 09:48 akonadi /
drwxr-xr-x 2 falmarri 4.0K 2010-12-04 15:48 autokey /
drwxr-xr-x 2 falmarri 4.0K 2010-11-06 01:45 autostart /
drwx ------ 2 falmarri 4.0K 2010-11-23 22:32 enchant /
drwxr-xr-x 2 falmarri 4.0K 2010-11-25 21:13 FreeCAD /
drwx ------ 2 falmarri 4.0K 2010-12-21 09:16 gtk-2.0 /
drwx ------ 3 falmarri 4.0K 2010-12-11 13:43 ibus /
drwxr-xr-x 2 falmarri 4.0K 2010-11-06 02:20 kde.org/
drwxr-xr-x 2 falmarri 4.0K 2010-11-06 02:46 qtcurve /
drwxr-xr-x 2 falmarri 4.0K 2010-11-17 13:49 Trolltech /
drwxr-xr-x 2 falmarri 4.0K 2010-11-17 23:29 vlc /
-rw-r - r-- 1 falmarri 31K 2010-12-21 20:51 Trolltech.conf
-rw ------- 1 falmarri 632 2010-11-06 01:40 user-dirs.dirs
-rw-r - r-- 1 falmarri 5 2010-11-06 01:40 user-dirs.locale
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