While I somewhat agree with Elemental I tend to separate my lib from my application. Meaning that things that aren't application specific ends up in the lib. Everything else ends up somewhere in the application. That way I end up with a neatly packaged reusable lib.

That being said I also have an application specific lib folder for application specific lib files(obviously).

To answer your question I would create a helper dir in your controller dir (ie /modules/mymodule/controller/helpers/) and drop the helpers there.
To call them you need to add the path tho, $this->_helper->addPath() from your controller for instance. Adding the path could/should be done elsewhere if it's a recurring thing.