Which is the best directory to keep my .sty files?

If you want to install your own .sty files, then you should copy the files into the directory tex/latex/mystuff relative to a new TEXMF root directory.

Example (Mac/Linux):

  1. Create a new TEXMF root: mkdir ~/mytexmf
  2. Create a sub directory: mkdir -p ~/mytexmf/tex/latex/mystuff
  3. Copy your .cls and/or .sty files to ~/mytexmf/tex/latex/mystuff
  4. Register the TEXMF root directory ~/mytexmf

The last step can be carried out in MiKTeX Console.