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I believe it is stored in the project file EAGLE.EPF. You should be able to spot the various sections if you look with a text editor. That will only work for that project. There used to be an EAGLERC.USR file as well which was global but I am not sure that exists now.
There is an EAGLE.SCR file in the EAGLE SCR directory which is a startup script and may be the place to put global changes.
I just type DRI 0.6 then DIA 1.0 or whatever I need. You can pick them from the drawdown boxes but I tend to use the command line quite a bit. You can also program function keys for common commands - I use them for selecting layers for example.
When you are routing you should see the via diameter and drill in one of the icon based menus (at the top on my setup, but they can be moved). You can click on it and get a list of used drill sizes (or a default list) but you can also click on the size and type another followed by enter.
It is worthwhile getting used to using the command line. You don't have to click on it - just start typing and hit enter. You don't have to type all a command - just enough to be unambiguous. So, for delete type DEL or maybe even DE. To change text type CHA TEX.
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Just to add, there is also a command history. Hit the up arrow key and it will allow you to scroll through previous commands. It can be handy to repeat a command or recent ones.