When you get a new language via Game->Get Words in New Language..., the new language data is stored in $~/.kde/share/apps/kvtml/ in the language code folder. The available language dir names are also stored in the KHangMan config file in ~/.kde/share/config/khangmanrc.

The provider name (i.e. the address of the website where to download the new languages) is stored in $KDEDIR/share/apps/khangman/khangmanrc.

The English language (default) and the user language from his i18n package(s) (if available) are stored in $KDEDIR/share/apps/kvtml.

In the configuration file, stored for each user in his $KDEHOME/share/config/khangmanrc are saved all the game settings such as the background, last category played, ... plus the files that were downloaded from the Get Hot New Stuff! dialog.