“See that you do not despise one of these little ones. For I tell you that their angels in heaven always see the face of my Father in heaven. “What do you think? If a man owns a hundred sheep, and one of them wanders away, will he not leave the ninety-nine on the hills and go to look for the one that wandered off? And if he finds it, truly I tell you, he is happier about that one sheep than about the ninety-nine that did not wander off. In the same way your Father in heaven is not willing that any of these little ones should perish." (Matthew 18:10-14)
I think it is safe to assume that they are with their Father in heaven.