After releasing my change request, I can't find the transport files in the transport directory.

Make sure you released the request, as well as the tasks under it (the request is the part of the tree directly under the word "Transportable"). Check the action logs using SE09 for errors. If there were no errors, try re-transporting an object by changing it and creating a new request. Before releasing the task or request, go to SE09 and list the request. If the request is listed under "Local", it can NOT be transported to another system.