First things first! Do you have Steam Cloud enabled or disabled in your Settings.ini file?
Some people have reported save/load issues with Steam Cloud. We have added a workaround that will cause the game to save its files in your documentary directory instead. To activate this mode, add the following two lines to your settings.ini file:
[STEAM]
DISABLECLOUD = true
If you're on Steam and you didn't turn off Steam Cloud in your .ini file, you should be able to find your files under:
\Steam\userdata>{Your Steam ID Number}\219740\remote
If you turned off the Steam Cloud in your settings.ini file, then your save will be located under:
Documents > Klei > DoNotStarve > Save