As the others said, the first half of the class is inside a building in Future World. When DH and I took the class in July, the classroom was in the same building as the FountainView Bakery in a room sort of across from the restrooms.
You would be able to catch them coming out of that room if you are in the right place at the right time, about 1 hour after the class begins. At the end of the class, they will return back to the smae room.
When we got to World Showcase, it was not open to the public yet. There were people with PS in Norway for the Princess breakfast and there were some people in the area between UK and Canada who had come in the International Gateway for the Epcot resorts. They don't let people come into WS from Future World until it opens.