I haven't really seen any examples, but I assume that they are saved inside the containing entity table within the database.
Ie. If I have a Person entity/aggregate root and a corresponding Person table, if it had a Value Object called Address, Address values would be saved inside this Person table!
Does that make sense for a domain where I have other entities such as Companies etc. that have an Address?
(I'm currently writing a project management application and trying to get into DDD)
It's ok to store Value Objects in a separate table, for the very reasons you've described. However, I think you're misunderstanding Entities vs VOs - it's not a persistence related concern.
Here's an example:
Assume that a Company and Person both have the same mail Address. Which of these statements do consider valid?
If 1 is true, Address should be an Entity, and therefore has it's own table
If 2 is true, Address should be a Value Object. It could be stored as a component within the parent Entity's table, or it could have it's own table (better database normalisation).
As you can see, how Address is persisted has nothing to do with Entity/VO semantics.