I go into replays, load one, then choose to export it, I name it, but then it's nowhere to be found. What am I doing wrong?

they should be in <lfs>\data\raf

That's what I thought, but there aren't any replays in there. How exactly do I go about exporting those replay files. I can't seem to figure it out.

To export an RAF file you need to have done a full lap in a replay.

What you do is... BEFORE the lap starts (before the car crosses the starting line), you want to choose to Output Lap Data. Choose a name and then play the replay. Let the lap finish (you can fast forward the lap), and then once the car crosses the finish line on that lap, it should say "saved output" or something. Then you should have a RAF file in the raf folder.

RAF's aren't replays, they are just files used for analyzing your laps from replays (Replay Analyzer File)

So basically during a replay, before the lap which I want to output starts (meaning before I cross the finish line) I choose "output lap data", fast forward until I make a complete lap and cross the finish line and it should automatically export it?

yes

Is there any where I can download .raf files for world record laps?

You gotta do it by hand.

You download World Record Replays from LFSW, output the RAF for whatever lap they did the WR lap on (says in the replay), and load it in the analyzer.