I'm not familiar with the Z-brush pipeline, but in general, while working on something, changes will be saved to the temp folder. It's the same when you edit something within CC.
Howver, all materials should be saved with the character and available when you load it.
The exception is when External Textures is checked in Preference:
75% of original size (was 675x19) - Click to enlarge
In that case textures would have to be loaded from external files and the External Files button would bring up a list of those files.
I doubt though if that is the case because that setting is usually not checked.