I asked a related question: How close are all of the shard worlds in space? (Not verbatum) The cosmere takes place in a dwarf galaxy and all the worlds are close together. Close as in say 10 light-years? More like 50. He went on to say that Peter has some harder numbers and that it might have to change a little.
This may or may not be related, but in a copy of Shadows of Self that I had inscribed for a friend, Brandon mentions that Roshar / Roshar's system can be seen in Scadrial's night sky. As soon as I get an picture of the actual inscription I will update the post with it.