Hi, WebPart Personalization makes also use of the ASP.NET 2.0 Provider Model. This means that a provider is in charge of writing the data to a data source. You can always override the provider to make the data storage custom to your personal needs. More info of the providers model can be found here http://msdn2.microsoft.com/en-us/library/aa478948.aspx.
Personalization uses the Web Parts Personalization provider http://msdn2.microsoft.com/en-us/library/aa478955.aspx.
Because you overwrite the provider, you are in full control what and where you save the data. This article has an example of saving the personalization data in a text file in the App_Code folder of your site. http://msdn2.microsoft.com/en-us/library/aa479037.aspx
Hope this will give you some starting points. I myself am also just starting to read and experiment with Web Parts because we would like to start using it in a dynamic portal.
I can also recommend the book ASP.NET 2.0 Web Parts in Action (Darren Neimke, Manning) http://www.manning.com/neimke/