Hi Stewy, welcome to the forum.
I don't have one, but I believe they go into the heat exchanger hoses (the ones that enter the cabin to provide heat). If you have a diesel, the return line is on the passenger side of the motor and connects just below the thermostat housing (which is where the lower radiator hose connects to). See page 52 of CO.PDF, it's item 10 if you have a 4WD and item 15 if you have a 2WD.
If you have a petrol engine, it looks like the heater feed hose comes off the pipe that joins the two sides of the 'V', on the driver's side of the engine at the rear. See p29, look for part 4 up the top right of the diagram.
You didn't indicate which kind of D40 you have, so I covered 'em all.