I'm not sure about MacPhex (never used it), but regular Phex on MacOSX stores the hosts file in the invisible .phex folder. It is located here:

normal users: /Users/(username)/.phex/phex.hosts
root user: /private/var/root/.phex/phex.hosts

To see the phex config folder, use OS 9 or download TinkerTool http://www.macupdate.com/tinkertool and set the Finder to show invisible files.