Where are my files stored?

If you are on a Mac, your files are stored in ~/Library/Application Support/Constella/Data.

If you are on Windows, your files are in C:\Users\<user>\AppData\Roaming\constella-app\Cache

How do I get my files as markdown?

You can go to the gear in the top right, then Account, and then hit Export Data.

This way you have full ownership over your data.