place them in
~\Steam\SteamApps\<steam name>\team fortress 2\tf\materials\
You should probably organize your materials in a folder such as 'Alero' or 'mapname'
Make sure you put both the vtf (edit ... was vmf lol) and the vmt in here, and the base texture value should be like so:
"$basetexture" "Alero/material_name"
If the folder you have the texture in is in the folder Alero
Also when releasing your map make sure you use pakrat or equivalent program to put the textures into the map file (otherwise other people will just see purple and black textures :laugh