Macros are stored locally, but you have the option of backing up one set of macros to the server via the character selection screen. I believe it's CTRL ALT SHIFT B to store them, and CTRL ALT SHIFT R to retrieve them.
Just be on the character selection screen, and select the character you want to retrieve, and hit that key combo before you log the rest of the way in. If there is any stored data on the server, SE will download it for you. If there is no stored data, the screen will tell you as much.
That reminds me, I really need to redo my last save - my BLU macros are completely different