This WoB says quite clearly that Odium is "settled on Roshar", but Odium's Coppermind page claims that he resides on Braize.
Another question: How does time work in the Cognitive Realm? Elsecallers and Lightweavers must travel to/appear in Shadesmar to soulcast, and this seems to take no Physical realm time at all. However, when Jasnah escapes the assassins in WoR she doesn't reappear until the end of the book.
And another question (sorry): How does a person's body appear in Shadesmar? We've seen the floating lights representing the soul, but does the body appear as a bead, and if so, what would its "personality" be? I'd imagine it wouldn't want to transform, but we've already seen that it can be convinced.