You can put them wherever you want, as long as that place is included in @INC.
Even if it isn't, you can point your programmes to the place where you've installed them like this:
use lib qw( /path/to/my/modules /other/path/to/many/more/of/my/modules );

Regarding your suggestions above, you would put them into ../site_perl/5.8.2 if 5.8.2 is your current Perl.

Cheers, Sören

Update:
Now isn't it funny that I just run across this thread from 2000: how to include a directory in @INC?