helpers.cfmfile inside the controller's view folder.
helpers.cfmfiles are only meant to be used for views, hence the placement in the views folder.
controllers/Controller.cfc. If you need helper type functionality within a single controller file, you can just add it as a function in that controller and make it private so that it can't be called as an action (and as a reminder to yourself of its general purpose as well).
models/Model.cfc. Private functions within your children models work well here, just like with controllers.