Conversations will be saved in your application directory. This is true for python and for the terminal interface. The command below, when run in your terminal, will show you which folder they’re being saved in (use your arrow keys to move down and press enter over > Open Folder): 
interpreter --conversations
You can turn off conversation history for a particular conversation: 
from interpreter import interpreter

interpreter.conversation_history = False
interpreter.chat() # Conversation history will not be saved