iCloud documents are cached on your local machine so that you can open them even if you don't have Internet access. The files can be accessed in the Finder in addition to the Apple application dialog boxes.
You can access them at this location:
Each application has its own folder that contains its documents. Files can be added or removed from this window.
(If you need to know how to access your ~/Library folder, here are a couple dozen ways to do so.)
[kirkmc adds: It's worth noting that when you go into that folder, you are actually accessing iCloud; it shows as such in the Finder title bar and path bar. If you move a file from one of these application folders to the Trash, you'll see a dialog informing you that this also deletes them from iCloud, and asking if you're sure that you want to delete them.
By the way, I've created a new iCloud topic, as I think we'll be seeing a number of hints that deal with iCloud, many of which will straddle the iOS and OS X topics.]
Mac OS X Hints