No sweat. I briefly contemplated whether I needed to spell it out, thought to myself, "aw, he's on Lion, I don't want to explain how to get to it, let's just hope he knows" :-)
The preferences file is going to be ~/Library/Preferences/com.omnigroup.OmniGraffle.plist or ~/Library/Preferences/com.omnigroup.OmniGrafflePro.plist, depending on whether or not you've got the Pro version. However, Apple throws a curve ball in Lion and hides the Library folder from casual view. There are a couple of ways around this:
if you want the Library folder visible, as it was previously, fire up the Terminal app, and type in the following command:
chflags nohidden ~/Library
If you just want to get to the Library folder this time, switch to the Finder, click on the Go menu, press and hold the option key which will cause Library to appear in the menu. Click on Library in the menu and then you should be able to proceed to the Preferences folder.