Where is the thermostat located on a Saturn 1992 coupe?

Follow the radiator hose back to the engine block. There are two hoses, but only one ends in a casting that bolts to the engine; that's the thermostat.

The thermostat is a little different than other vehicles, since it is cast into the thermostat housing. You'll need to replace the entire housing since you can't buy just the thermostat.