Application Data is stored in the CM database and accessible via the API only.
I've created an example custom page that can be used to manage the vocabularies which can be found on Google Code: https://code.google.com/p/sdl-tridion-world/source/browse/#svn%2FAppData%20Custom%20Page%2Ftrunk
If I remember correctly there is also something mentioned about it in the documentation.
As a start I would install the custom page and view its source for details about how it works and what it does.
Btw. You don't have to add a new vocabulary for mappings, you can also use the existing vocabularies (the default TRI or schema.org).
Considering you forgot to copy in the Application Data Configuration (with the Application data ID's), you have a couple of options:
You could rerun the import script and let it update all exising content including the application data. (check the documentention and make sure you perform steps 1-3 now)
This is a good option, but if you have already modified a lot of the content or made changes you don't want overwritten, then you need to check out option #2.
Manually set the application data, starting with the vocabulary. This is best done by installing the custom page mentioned above, and open it. Add the following in the Vocabularies field:
<vocabulary prefix="tri" name="http://www.sdl.com/web/schemas/core"/>
<vocabulary prefix="s" name="http://schema.org"/>
And press the
Update button to save it. Then under Schema mapping select the Article Schema and add
<typeof>s:Article</typeof> in the field next to it and press
Update, Select the Image Schema and add
<typeof>s:MediaObject</typeof>, and do the same for the Link Schema with the value
Last option you have is drop all your Publications and reimport from scratch.