Usually at their embassies. Sometimes, of course, the President will invite them to either stay at the Whitehouse, or have the meeting at Camp David.
Embassies often serve as accommodation for foreign leaders even in their own country. For example, the Queen has stayed at the US Embassy in London, which might seem at first sight a bit peculiar when she has a place up the road. As an aside, Raymond Seitz, the former US Ambassador to the UK, tells a delightful story of his mortification when his dog bounded into the Queen's bedroom and leapt on the bed.
She's as nervous as a very small nun at a penguin shoot.