The document says .openzeppelin exists in the project root. But if I run the deploying scripts in the scripts folder(Hardhat’s default folder), .openzeppelin is created at the current directory, i.e. scripts folder.
If this is normal and intended, please delete this post. 
Environment
Hardhat + OZ Hardhat plugin
.openzeppelin should be in the project root like in my screenshot.
The reason it might be creating in the lower folders is because you are running the commands from there.
You should be running commands from the project root.
Thanks.
But I think .openzeppelin folder can be anywhere when deploying on localhost. 
See the documentation for the location: https://docs.openzeppelin.com/upgrades-plugins/1.x/network-files