I looked at Multibit's code and copied more or less the mechanism. There the checkpoint file is also in the users support directory. I'm not 100% sure, but i would guess the checkpoint file should be kept together with the spvchain- and the wallet-file. The checkpoint-file is also really small (11kb).

IMO the filename can be fixed to "bitcoinkit.checkpoint" to make it more consistent with other bitcoinj based implementations. And also the other bitcoinkit files are constant strings (like "bitcoinkit.spvchain", etc.).