Do you know your question? Skinien has a valid point. It does make a difference if you use WMPlayer or iTunes or just mass storage. Or, if you download the music OTA. Not a simple answer for a simple question.
My guess is that anything that is downloaded OTA will store in the phone unless you change the settings in the Memory Card menu to storage card. If you're transferring via USB to the phone, it's likely going to the storage card - depends on which "drive" you select.
So, the issue is not whether we know the answer, but rather, we don't understand the full question.