they go to ground i.e. usually soldered to back of volume pot. That's where your current ground wires are I bet.
Note, the Dimarzio Model J's are four conductor wiring, not the usual 2 wire single coil/hb setup. The red wire equates to the white wire in this diagram, and the green wire equates to the black wire. The other two wires generally get soldered together to run them in series.
Alternatively, look at the pickup specification page on dimarzio.com and get the four conductor wiring diagram which explains all this and also tells you how to wire it for series/parallel switching if you wish. But if you don't know what a ground wire is, it's probably best not do the s/p switch right now - walk before you run.