When I'm done filling out the divorce papers where do I send them to, I'm doing this myself

I have no idea what you mean - do you mean do you file them with the Court before you serve them on your spouse? Depends on the State.

For me, they were taken to the courthouse, ( had to have 4 copies) from their the copy to be served on the other person went to a process server and the court keep three copies. And I keep one.

Any question on law needs to include your general locale as laws and procedures vary by area.

Do the papers give any instructions?