Pip install - do downloaded whl files persist & take disk space?

Yes, it does. The wheels are stored at pip's caching folder. The location can be overriden via the --cache-dir parameter.

The default location for the cache directory depends on the Operating System:

Unix

~/.cache/pip and it respects the XDG_CACHE_HOME directory.

macOS

~/Library/Caches/pip.

Windows CSIDL_LOCAL_APPDATA>\pip\Cache

More information is available here: https://pip.pypa.io/en/latest/reference/pip_install/#caching

In the case of PyQt5, the 117.8MB installation file is cached in the http directory of the pip cache, which Ramiro's answer includes the location of. You can safely remove both the http and wheels directories.

You can disable caching on future installations via the --no-cache-dir command line option (source).